Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information

Quantitative Methods and Empirical Rules for Incomplete Information

By:

Nikolai Dokuchaev

Format:

Hardback

Series:

International Series in Operations Research & Management Science

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Description

An investigation of optimal investment problems for stochastic financial market models, this book is addressed to academics and students who are interested in the mathematics of finance, stochastic processes and optimal control. It should also be useful to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis. The focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: they require only historical data, and typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models.

Release date Australia

January 31st, 2002

Author

Nikolai Dokuchaev

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Illustrations

XXVI, 201 p.

Pages

201

Series

International Series in Operations Research & Management Science

Dimensions

155x235x19

ISBN-13

9780792376484

Product ID

5268852

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