Chapter 4

On Formulating and Solving Portfolio Decision and Asset Pricing Problems

Yu Chena, Thomas F. Cosimanob and Alex A. Himonasc,    aDepartment of Mathematics, Idaho State University, USA,    bDepartment of Finance, Mendoza College of Business, University of Notre Dame, USA,    cDepartment of Mathematics, University of Notre Dame, USA,


This chapter discusses computational methods for approximating portfolio and asset pricing problems. Formulation of these problems is usually specified along with components, preferences, payoffs, etc., that are analytic functions. This implies that the solutions to these problems acquire this property, so that these solutions can be accurately approximated by polynomials ...

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