ISBN: 9781334017841 - consumption-porfolio policies: an inverse optimal problem (classic reprint) (4 resultados)

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

Condición: Like New. In unused condition, may show some slight shelf wear, but otherwise unread. This title was digitally scanned from a rare, out of print edition, and will have some visual artifacts from that process.

Paperback. Condición: New. Print on Demand. This book presents a novel framework for analyzing the problem of optimal consumption and investment decisions in the presence of uncertain future conditions. Previous literature on this subject focused primarily on deriving optimal policies contingent on exogenous processes governing future uncertainty. This book, however, addresses the inverse problem - given an arbitrary consumption-portfolio policy, it seeks to determine necessary and sufficient conditions that must be satisfied such that the policy is an optimal solution for some economic agent with an increasing, strictly concave, time-additive, and state-independent utility function and under general specifications of the prices of risky assets. The author derives these conditions and offers an integral formula to recover the utility function that supports a given optimal policy, providing a dynamic recoverability perspective on incomplete financial markets with continuous trading. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.…