A Note On Mertons Optimum Consumption And Portfolio Rules In A Continuous Time Model
Download A Note On Mertons Optimum Consumption And Portfolio Rules In A Continuous Time Model full books in PDF, epub, and Kindle. Read online free A Note On Mertons Optimum Consumption And Portfolio Rules In A Continuous Time Model ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Suresh Sethi |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
In the paper Optimum Consumption and Portfolio Rules in a continuous-Time Model, by R. C. Merton (J. Econ. Theory 3 (1971), 373-413), solutions obtained in cases when marginal utility at zero consumption is finite are not feasible. While they do satisfy the Hamilton-Jacobi Bellman equations, they do not represent appropriate value functions because the boundary behavior near zero wealth is not satisfactorily dealt with. In this note, we specify the boundary behavior and characterize optimal solutions.
| Author | : Suresh P. Sethi |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 1986 |
| Genre | : |
| ISBN | : |
In the area of consumption and portfolio problem in continuous time, Merton is the most widely cited paper. It is an important paper because of its many significant contributions. Among these was the provision of explicit solutions for utility functions in the HARA family specified in equation (43) of Merton's paper. These solutions in the form of lengthy formulas were simply stated without any derivation. Perhaps, because of this, some errors went undetected. While some minor errors were corrected in Merton, the purpose of this not is to delineate the subfamily of HARA utility functions for which the explicit solution obtained in Section 6 of Merton's paper are correct and the remaining subfamily for which they are not.
| Author | : Suresh P. Sethi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 434 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1461562570 |
This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.
| Author | : Suresh P. Sethi |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 456 |
| Release | : 1996-11-30 |
| Genre | : Business & Economics |
| ISBN | : 9780792397557 |
This book presents papers on continuous-time consumption investment models by Suresh Sethi and various co-authors. Sir Isaac Newton said that he saw so far because he stood on the shoulders of gi ants. Giants upon whose shoulders Professor Sethi and colleagues stand are Robert Merton, particularly Merton's (1969, 1971, 1973) seminal papers, and Paul Samuelson, particularly Samuelson (1969). Karatzas, Lehoczky, Sethi and Shreve (1986), henceforth KLSS, re produced here as Chapter 2, reexamine the model proposed by Mer ton. KLSS use methods of modern mathematical analysis, taking care to prove the existence of integrals, check the existence and (where appro priate) the uniqueness of solutions to equations, etc. KLSS find that un der some conditions Merton's solution is correct; under others, it is not. In particular, Merton's solution for aHARA utility-of-consumption is correct for some parameter values and not for others. The problem with Merton's solution is that it sometimes violates the constraints against negative wealth and negative consumption stated in Merton (1969) and presumably applicable in Merton (1971 and 1973). This not only affects the solution at the zero-wealth, zero-consumption boundaries, but else where as well. Problems with Merton's solution are analyzed in Sethi and Taksar (1992), reproduced here as Chapter 3.
| Author | : Giuseppe Travaglini |
| Publisher | : Springer Nature |
| Total Pages | : 157 |
| Release | : |
| Genre | : |
| ISBN | : 3031549864 |
| Author | : Robert Z. Aliber |
| Publisher | : Springer |
| Total Pages | : 279 |
| Release | : 1977-06-17 |
| Genre | : Political Science |
| ISBN | : 134902998X |
| Author | : Bozenna Pasik-Duncan |
| Publisher | : Springer |
| Total Pages | : 563 |
| Release | : 2003-07-01 |
| Genre | : Mathematics |
| ISBN | : 3540480226 |
This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.
| Author | : |
| Publisher | : BoD – Books on Demand |
| Total Pages | : 128 |
| Release | : 2022-08-17 |
| Genre | : Computers |
| ISBN | : 183969887X |
In view of the considerable applications of data clustering techniques in various fields, such as engineering, artificial intelligence, machine learning, clinical medicine, biology, ecology, disease diagnosis, and business marketing, many data clustering algorithms and methods have been developed to deal with complicated data. These techniques include supervised learning methods and unsupervised learning methods such as density-based clustering, K-means clustering, and K-nearest neighbor clustering. This book reviews recently developed data clustering techniques and algorithms and discusses the development of data clustering, including measures of similarity or dissimilarity for data clustering, data clustering algorithms, assessment of clustering algorithms, and data clustering methods recently developed for insurance, psychology, pattern recognition, and survey data.
| Author | : Zhenting Hou |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 501 |
| Release | : 2013-12-01 |
| Genre | : Mathematics |
| ISBN | : 146130265X |
The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South American and Asian scholars.
| Author | : Freddy Delbaen |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 371 |
| Release | : 2006-02-14 |
| Genre | : Mathematics |
| ISBN | : 9783540312994 |
Proof of the "Fundamental Theorem of Asset Pricing" in its general form by Delbaen and Schachermayer was a milestone in the history of modern mathematical finance and now forms the cornerstone of this book. Puts into book format a series of major results due mostly to the authors of this book. Embeds highest-level research results into a treatment amenable to graduate students, with introductory, explanatory background. Awaited in the quantitative finance community.
