Table of Contents

Introduction and discrete-time models; the continuous-time portfolio and consumption problem; the continuous-time portfolio and consumption problem - complete markets; the continuous-time portfolio and consumption problem under constraints; transaction costs; non-utility based approaches.

Reviews

"This book provides not only a survey of the continuous-time porfolio selection theory, but also can be recommended to those who want to obtain a quick overview about methods of portfolio theory. Because of its friendly and inviting style, parts of this book are also suitable as a first introduction to this theory for those not familiar with stochastic analysis." Metrika, 1999