Optsionnoe Khedzhirovanie: Issledovanie Vliyaniya Otnosheniya Investora K Risku Na Optimal'nye Strategii - Marina Samoyavcheva - Books - LAP LAMBERT Academic Publishing - 9783843316255 - February 28, 2011
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Marina Samoyavcheva
Optsionnoe Khedzhirovanie: Issledovanie Vliyaniya Otnosheniya Investora K Risku Na Optimal'nye Strategii Russian edition

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Monografiya posvyashchena razrabotke modeley optsionnogo khedzhirovaniya s uchetom otnosheniya investora k risku. Reshayutsya zadachi optimal'nogo upravleniya samofinansiruemym portfelem, sostavlennym iz proizvodnogo finansovogo instrumenta v korotkoy pozitsii i khedzhiruyushchego portfelya, v diskretnom i nepreryvnom vremeni: v kachestve kriteriya optimal'nosti vystupayut matematicheskoe ozhidanie konechnogo kapitala sformirovannogo portfelya (v pervoy postanovke) i matematicheskoe ozhidanie poleznosti konechnogo kapitala (vo vtoroy). Postroeny optimal'nye strategii optsionnogo khedzhirovaniya. Eksperimenty, provedennye na osnovanii dannykh o torgakh f'yuchersnymi optsionami na Fondovoy birzhe «Rossiyskaya torgovaya sistema», pokazali bol'shuyu effektivnost' optsionnogo khedzhirovaniya, uchityvayushchego otnoshenie investora k risku, po sravneniyu s traditsionnym khedzhirovaniem. Dlya spetsialistov po finansovoy matematike, uchastnikov fondovogo rynka, nauchnykh rabotnikov i aspirantov.

Media Books     Paperback Book   (Book with soft cover and glued back)
Released February 28, 2011
ISBN13 9783843316255
Publishers LAP LAMBERT Academic Publishing
Pages 136
Dimensions 150 × 8 × 226 mm   ·   221 g
Language German  

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