Optimal Investment

Whether you work in fund management, a business school, or a university economics or mathematics department, the title of this book, Optimal Investment, promises to be of interest to you. Yet its contents are, I guess, not as you would expect. Is it about the practical issues of portfolio selection in the real world? No;though it does not ignore those issues. Is it a theoretical treatment? Yes; though often issues of completeness and rigour are suppressed to allow for a more engaging account. The general plan of the book is to set out the most basic problem in continuous-time portfolio selection, due in its original form to Robert Merton.