Stochastic optimization models in finance

Mathematical Tools: Expected Utility Theory Convexity and the Kuhn-Tucker Conditions Dynamic Programming Qualitative Economic Results: Stochastic Dominance Measures of Risk Aversion Separation Theorems Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point Risk Aversion over Time Implies Static Risk Aversion Myopic Portfolio Policies Dynamic Models: Two-Period Consumption Models and Portfolio Revision Models of Optimal Capital Accumulation and Portfolio Selection Models of Option Strategy The Capital Growth Criterion and Continuous-Time Models.