Optimization in Economics and Finance

Some Advances in Non-Linear, Dynamic, Multi-Criteria and Stochastic Models

Bruce D. Craven, Sardar M.N. Islam - Collection Dynamic Modeling and Econometrics in Economics and Finance

162 pages, parution le 09/06/2005

Ajouter à une liste

Indisponible

Résumé

Many optimization questions arise in economics and finance; an important example of this is the society's choice of the optimum state of the economy (the social choice problem). Optimization in Economics and Finance extends and improves the usual optimization techniques, in a form that may be adopted for modeling social choice problems. Problems discussed include: when is an optimum reached; when is it unique; relaxation of the conventional convex (or concave) assumptions on an economic model; associated mathematical concepts such as invex and quasimax; multiobjective optimal control models; and related computational methods and programs. These techniques are applied to economic growth models (including small stochastic perturbations), finance and financial investment models (and the interaction between financial and production variables), modeling sustainability over long time horizons, boundary (transversality) conditions, and models with several conflicting objectives. Although the applications are general and illustrative, the models in this book provide examples of possible models for a society's social choice for an allocation that maximizes welfare and utilization of resources. As well as using existing computer programs for optimization of models, a new computer program, named SCOM, is presented in this book for computing social choice models by optimal control.

Sommaire

Preface
Acknowledgements and Sources of Materials
Introduction: Optimal Models for Economics and Finance
Mathematics of Optimal Control
Computing Optimal Control: The SCOM package
Computing Optimal Growth and Development Models
Modelling Financial Investment with Growth
Modelling Sustainable Development
Modelling and Computing a Stochastic Growth Model
Optimization in Welfare Economics
Transversality Conditions for Infinite Horizon Models
Conclusions
Bibliography
Index

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Bruce D. Craven, Sardar M.N. Islam
Collection	Dynamic Modeling and Econometrics in Economics and Finance
Parution	09/06/2005
Nb. de pages	162
Format	16,5 x 24,5
Couverture	Relié
Poids	423g
Intérieur	Noir et Blanc
EAN13	9780387242798
ISBN13	978-0-387-24279-8