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The Monotonicity of Transition Probabilities
Dynamic Portfolio Models under Uncertainty
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American call option analysis assumed assumption backward induction Bayesian call option capital cost cash flows computed conditions of risk conditions of uncertainty constant control limits decision model decision-maker defined denotes density function dynamic portfolio model dynamic programming economic expected market value final wealth ft(x Gamma distribution information state n,y initial wealth investment limits investment opportunity investment project investor irreversible project Lemma logarithmic utility function market value distribution means model under conditions Normal distribution optimal investment date optimal investment decisions optimal investment policy optimal portfolio policy planning horizon planning period planning process positive skewness posterior distribution posterior expected power utility functions prior distribution probability distribution probability mass function PROOF random variable rate of return respect return distribution return of asset risk aversion riskless asset risky asset specified stochastic dominance sufficient statistic Theorem tion two-point distribution undertake the project unknown parameter utility function U(x value functions variance