Stochastic Optimization and Economic Models by Jati SenguptaStochastic Optimization and Economic Models by Jati Sengupta

Stochastic Optimization and Economic Models

byJati Sengupta

Paperback | December 30, 2010

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This book presents the main applied aspects of stochas­ tic optimization in economic models. Stochastic processes and control theory are used under optimization to illustrate the various economic implications of optimal decision rules. Unlike econometrics which deals with estimation, this book emphasizes the decision-theoretic basis of uncertainty specified by the stochastic point of view. Methods of ap­ plied stochastic control using stochastic processes have now reached an exciti<_g20_phase2c_20_where20_several20_disciplines20_like20_systems20_engineering2c_20_operations20_research20_and20_natural20_reso-20_ces20_interact20_along20_with20_the20_conventional20_fields20_such20_as20_mathematical20_economics2c_20_finance20_and20_control20_systems.20_our20_objective20_is20_to20_present20_a20_critical20_overview20_of20_this20_broad20_terrain20_from20_a20_multidisciplinary20_viewpoint.20_in20_this20_attempt20_we20_have20_at20_times20_stressed20_viewpoints20_other20_than20_the20_purely20_economic20_one.20_we20_believe20_that20_the20_economist20_would20_find20_it20_most20_profitable20_to20_learn20_from20_the20_other20_disciplines20_where20_stochastic20_optimization20_has20_been20_successfully20_applied.20_it20_is20_in20_this20_spirit20_that20_we20_have20_discussed20_in20_some20_detail20_the20_following20_major20_areas3a_20_a.20_portfolio20_models20_in20_-3a_finance2c_20_b.20_differential20_games20_under20_uncertainty2c_20_c.20_self-tuning20_regulators2c_20_d.20_models20_of20_renewable20_resources20_under20_uncertainty2c_20_and20_ix20_x20_preface20_e.20_nonparametric20_methods20_of20_efficiency20_measurement.20_stochastic20_processes20_are20_now20_increasingly20_used20_in20_economic20_models20_to20_understand20_the20_various20_adaptive20_behavior20_implicit20_in20_the20_formulation20_of20_expectation20_and20_its20_application20_in20_decision20_rules20_which20_are20_optimum20_in20_some20_sense. _phase2c_="" where="" several="" disciplines="" like="" systems="" _engineering2c_="" operations="" research="" and="" natural="" reso-="" ces="" interact="" along="" with="" the="" conventional="" fields="" such="" as="" mathematical="" _economics2c_="" finance="" control="" systems.="" our="" objective="" is="" to="" present="" a="" critical="" overview="" of="" this="" broad="" terrain="" from="" multidisciplinary="" viewpoint.="" in="" attempt="" we="" have="" at="" times="" stressed="" viewpoints="" other="" than="" purely="" economic="" one.="" believe="" that="" economist="" would="" find="" it="" most="" profitable="" learn="" stochastic="" optimization="" has="" been="" successfully="" applied.="" spirit="" discussed="" some="" detail="" following="" major="" _areas3a_="" a.="" portfolio="" models="" _-3a_finance2c_="" b.="" differential="" games="" under="" _uncertainty2c_="" c.="" self-tuning="" _regulators2c_="" d.="" renewable="" resources="" ix="" x="" preface="" e.="" nonparametric="" methods="" efficiency="" measurement.="" processes="" are="" now="" increasingly="" used="" understand="" various="" adaptive="" behavior="" implicit="" formulation="" expectation="" its="" application="" decision="" rules="" which="" optimum="">
Title:Stochastic Optimization and Economic ModelsFormat:PaperbackDimensions:373 pages, 22.3 × 15.2 × 0.01 inPublished:December 30, 2010Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:9048184266

ISBN - 13:9789048184262

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Table of Contents

I. Econometric Models and Optimal Economic Policy.- II. Stochastic Processes in Economic Models.- III. Recent Economic Models in Applied Optimal Control.- IV. Efficient Diversification in Optimal Portfolio Theory.- V. Portfolio Efficiency under Singularity and Orthogonality.- VI. Diversification and Robustness in Portfolio Investment: An Empirical Analysis.- VII. Efficiency Measurement in Nonmarket Systems Through Data Envelopment Analysis.- Author Index.