Stochastic Optimization Models in Finance
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9780127808505

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THE VALUE OF THE CALL OPTION ON A BOND**Financial support was provided by the Institute of Business and Economic Research of the University of California, Berkeley.

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50046-0 ◽

1975 ◽

pp. 547-552

Author(s):

GORDON PYE

Keyword(s):

Financial Support ◽

University Of California ◽

Economic Research ◽

Call Option ◽

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INVESTMENT ANALYSIS UNDER UNCERTAINTY**Received January 1967; revised March 1968.††This study was supported, in part, by funds made available by the Ford Foundation to the Graduate School of Business, Stanford University. However, the conclusions, opinions and other statements in this publication are those of the author and are not necessarily those of the Ford Foundation.

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50034-4 ◽

1975 ◽

pp. 373-387

Author(s):

ROBERT WILSON

Keyword(s):

Graduate School ◽

Ford Foundation ◽

Investment Analysis ◽

Stanford University

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COMPUTATIONAL AND REVIEW EXERCISES

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50031-9 ◽

1975 ◽

pp. 331-341

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COMPUTATIONAL AND REVIEW EXERCISES

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50020-4 ◽

1975 ◽

pp. 171-181

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PREFACE

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50005-8 ◽

1975 ◽

pp. xiii-xv

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A GENERAL THEORY OF SUBJECTIVE PROBABILITIES AND EXPECTED UTILITIES

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50008-3 ◽

1975 ◽

pp. 11-21

Author(s):

PETER C. FISHBURN

Keyword(s):

General Theory ◽

Subjective Probabilities

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SAFETY-FIRST AND EXPECTED UTILITY MAXIMIZATION IN MEAN-STANDARD DEVIATION PORTFOLIO ANALYSIS

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50025-3 ◽

1975 ◽

pp. 235-241

Author(s):

David H. Pyle ◽

Stephen J. Turnovsky

Keyword(s):

Standard Deviation ◽

Expected Utility ◽

Utility Maximization ◽

Portfolio Analysis ◽

Expected Utility Maximization ◽

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EVALUATING A CALL OPTION AND OPTIMAL TIMING STRATEGY IN THE STOCK MARKET**Received May 1966 and revised January 1967.

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50047-2 ◽

1975 ◽

pp. 553-562

Author(s):

HOWARD M. TAYLOR

Keyword(s):

Stock Market ◽

Optimal Timing ◽

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PSEUDO-CONVEX FUNCTIONS**Received by the editors March 4, 1965.

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50009-5 ◽

1975 ◽

pp. 23-32

Author(s):

O.L. MANGASARIAN

Keyword(s):

Convex Functions ◽

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Optimum Consumption and Portfolio Rules in a Continuous-Time Model**I would like to thank P. A. Samuelson, R. M. Solow, P. A. Diamond, J. A. Mirrlees, J. A. Flemming, and D. T. Scheffman for their helpful discussions. Of course, all errors are mine. Aid from the National Science Foundation is gratefully acknowledged. An earlier version of the paper was presented at the second World Congress of the Econometric Society, Cambridge, England.

Stochastic Optimization Models in Finance ◽

10.1016/b978-0-12-780850-5.50052-6 ◽

1975 ◽

pp. 621-661 ◽

Author(s):

ROBERT C. MERTON

Keyword(s):

Continuous Time ◽

National Science Foundation ◽

World Congress ◽

Continuous Time Model ◽

National Science ◽

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