Optimal Control, Expectations and Uncertainty, Holly
Автор: Consigli Название: Optimal Financial Decision Making under Uncertainty ISBN: 3319416111 ISBN-13(EAN): 9783319416113 Издательство: Springer Рейтинг: Цена: 19564.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management.The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows:
Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas.Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applicationsThe inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods.Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems.Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.
Описание: The book introduces the New Keynesian framework, historically through a literature overview and through a step-by-step derivation of a New Keynesian Phillips curve, an intertemporal IS curve, and a targeting rule for the central bank. This basic version is then expanded by introducing cost and demand shocks and uncertainty. The latter enters the model via second order Taylor approximation instead of linearization. Bringing all equations together results in an equilibrium condition which is simulated with a wide range of parameter values, including possible crisis scenarios. The author finds that accounting for uncertainty – regarding growth and inflation expectations – can lead to lower nominal interest rates set by the central bank.
Автор: Frydman Roman, Phelps Edmund S. Название: Rethinking Expectations: The Way Forward for Macroeconomics ISBN: 0691155232 ISBN-13(EAN): 9780691155234 Издательство: Wiley Рейтинг: Цена: 9504.00 р. Наличие на складе: Поставка под заказ.
Описание: This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roma
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