Portfolio Optimization with Different Information Flow
  • Release Date : 10 February 2017
  • Publisher : Elsevier
  • Genre : Business & Economics
  • Pages : 190 pages
  • ISBN 13 : 9780081011775
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Download or read book entitled Portfolio Optimization with Different Information Flow by author: Caroline Hillairet which was release on 10 February 2017 and published by Elsevier with total page 190 pages . This book available in PDF, EPUB and Kindle Format. 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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Author : Diego Galar,Uday Kumar
Publisher : Academic Press
Genre : Business & Economics
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