Applied Optimization

Optimal Control Models in Finance

A New Computational Approach

Authors: Chen, Ping, Islam, Sardar M. N.

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About this book

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.

Reviews

"This book by Ping Chen and Sardar M. N. Islam discusses the issue of the determination of optimal capital structure for corporations and the economy. They have developed an optimal control model for optimal financing involving a dynamic system with switching times. A new computational method and a new computer program named CSTVA are developed and optimal financing implications of the model results are analysed in this book. This book makes a significant contribution to the literature and will surely prove to be a boon to students, academics, and practitioners in finance, optimal control, and computer programming.” —Professor David W. K. Yeung, Professor of Decision Sciences, Hong Kong Baptist University, Director of Center of Game Theory, and Managing Editor, International Game Theory Review


Table of contents (6 chapters)

Table of contents (6 chapters)
  • Optimal Control Models in Finance

    Pages 1-20

  • The STV Approach to Financial Optimal Control Models

    Pages 21-37

  • A Financial Oscillator Model

    Pages 39-89

  • An Optimal Corporate Financing Model

    Pages 91-108

  • Further Computational Experiments and Results

    Pages 109-139

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-0-387-23570-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA
  • ISBN 978-0-387-23569-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.99
price for USA
  • ISBN 978-1-4614-9855-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Optimal Control Models in Finance
Book Subtitle
A New Computational Approach
Authors
Series Title
Applied Optimization
Series Volume
95
Copyright
2005
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-23570-7
DOI
10.1007/b101888
Hardcover ISBN
978-0-387-23569-1
Softcover ISBN
978-1-4614-9855-1
Series ISSN
1384-6485
Edition Number
1
Number of Pages
XVIII, 201
Topics