E Book

Optimal Control Models in Finance

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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.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

Boston : Springer., 2005

Deskripsi Fisik

XVIII, 201 p.online resource.

Bahasa

English

ISBN/ISSN

9780387235707

Klasifikasi

515.64

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Mathematical optimization.
Optimization.
Calculus of variations.
Calculus of Variations and Optimal Control; Optimization.

Info Detail Spesifik

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Pernyataan Tanggungjawab

Ping Chen, Sardar M. N. Islam.

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