Portfolio Optimization with Different Information Flow

Book Portfolio Optimization with Different Information Flow Cover

Download or read online Portfolio Optimization with Different Information Flow PDF book by Caroline Hillairet in ePUB, PDF or Kindle eBooks. Published by Elsevier in 10 February 2017 the book become immediate popular and critical acclaim in Business & Economics books with total hardcover page 190. Click Download Book button to get book file. Read some info about this book below.

  • Author : Caroline Hillairet
  • Publisher : Elsevier
  • Release : 10 February 2017
  • ISBN : 9780081011775
  • Page : 190 pages
  • Language : English
  • Total View : 9731 Views
  • File Size : 43,9 Mb

Portfolio Optimization with Different Information Flow Book PDF summary

Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement of filtration are discussed: initial and progressive, using tools from various fields, such as from stochastic calculus and convex analysis, optimal stochastic control and backward stochastic differential equations. This theoretical and numerical analysis is applied in different market settings to provide a good basis for the understanding of portfolio optimization with different information flow. Presents recent progress of stochastic portfolio optimization with exotic filtrations Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

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