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Optimal Control Models in Finance : A New Computational Approach / by Ping Chen, Sardar M. N. Islam
(Applied Optimization ; 95)
版 | 1st ed. 2005. |
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出版者 | New York, NY : Springer US : Imprint: Springer |
出版年 | 2005 |
本文言語 | 英語 |
大きさ | XVIII, 201 p : online resource |
著者標目 | *Chen, Ping author Islam, Sardar M. N author SpringerLink (Online service) |
件 名 | LCSH:Mathematical optimization LCSH:Calculus of variations FREE:Calculus of Variations and Optimization FREE:Optimization |
一般注記 | Optimal Control Models in Finance -- The STV Approach to Financial Optimal Control Models -- A Financial Oscillator Model -- An Optimal Corporate Financing Model -- Further Computational Experiments and Results -- Conclusion The determination of optimal financing and investment strategies (optimal capital structure or optimal mix of funds, optimal portfolio choice, etc.) for corporations and the economy are important for efficient allocation of resources in the economy. Optimal control methods have useful applications to these areas in finance - some optimization problems in finance include optimal control, involving a dynamic system with switching times in the form of bang-bang control. Optimal control models for corporate finance and the economy are presented in this book and the analytical and computational results of these models are also reported. Such computational approaches to the study of optimal corporate financing are not well known in the existing literature. This book develops a new computational method where switching times are considered as variables in the optimal dynamic financial model represented by a second order differential equation. A new computer program named CSTVA (Computer Program for the Switching Time Variables Algorithm), which can compute bang-bang optimal financial models with switching time, is also developed. Optimal financing implications of the model results in the form of optimal switching times for changes in financing policies and the optimal financial policies are analyzed HTTP:URL=https://doi.org/10.1007/b101888 |
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電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
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電子ブック | オンライン | 電子ブック |
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Springer eBooks | 9780387235707 |
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電子リソース |
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EB00230812 |
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データ種別 | 電子ブック |
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分 類 | LCC:QA402.5-402.6 LCC:QA315-316 DC23:519.6 DC23:515.64 |
書誌ID | 4000134257 |
ISBN | 9780387235707 |
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※2017年9月4日以降