The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by

The continuous-time portfolio problem consists of finding the optimal investment strategy of an investor. In the classical Merton problem the investor can alloc

A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford,

Designed as a self-contained text, this book covers a wide spectrum of topics on portfolio theory. It covers both the classical-mean-variance portfolio theory a