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Sinopsis
This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes’ theorem for the revision of the probability distributions of the random variables over time.
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Reseña del editor
This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.
Reseña del editor
This book deals with analysis of sequential decision models in investment and portfolio theory. The optimal investment strategy is derived by using results from stochastic dynamic programming and from Bayesian statistics. The analysis is largely restricted to models with only two alternatives in order that powerful results may be obtained. In the first part a dynamic portfolio model consisting of two assets is considered. In the second part a stopping decision model is used to determine the optimal investment date of a long-lived real project. Results from discrete-time dynamic programming and from Bayesian statistics are used to derive structural properties of the optimal investment strategy, such as monotonicity results. Thereby the optimal investment strategy allows plausible economic interpretations and leads to many interesting sensitivity results.
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Sequential Binary Investment Decisions: A Bayesian Approach
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Springer Berlin Heidelberg, 1988
ISBN 10: 3540500340
ISBN 13: 9783540500346
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Condición: Bon. Ancien livre de bibliothèque. Traces d'usure sur la couverture. Edition 1988. Ammareal reverse jusqu'à 15% du prix net de cet article à des organisations caritatives. ENGLISH DESCRIPTION Book Condition: Used, Good. Former library book. Signs of wear on the cover. Edition 1988. Ammareal gives back up to 15% of this item's net price to charity organizations. Nº de ref. del artículo: F-136-863
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Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics and Mathematical Systems, 313)
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Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics and Mathematical Systems, 313)
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Sequential Binary Investment Decisions
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Springer, Springer Jul 1988, 1988
ISBN 10: 3540500340
ISBN 13: 9783540500346
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time. 168 pp. Englisch. Nº de ref. del artículo: 9783540500346
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Sequential Binary Investment Decisions
Publicado por
Springer Berlin Heidelberg, 1988
ISBN 10: 3540500340
ISBN 13: 9783540500346
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the. Nº de ref. del artículo: 4891415
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Sequential Binary Investment Decisions
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Condición: New. PRINT ON DEMAND pp. 168. Nº de ref. del artículo: 1854514723
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Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics and Mathematical Systems)
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Sequential Binary Investment Decisions
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Springer Berlin Heidelberg, Springer Berlin Heidelberg Jul 1988, 1988
ISBN 10: 3540500340
ISBN 13: 9783540500346
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Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 168 pp. Englisch. Nº de ref. del artículo: 9783540500346
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