Portfolio Optimization with Different Information Flow

Written By Caroline Hillairet
Portfolio Optimization with Different Information Flow
  • Publsiher : Elsevier
  • Release : 10 February 2017
  • ISBN : 0081011776
  • Pages : 190 pages
  • Rating : /5 from reviews
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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

Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow
  • Author : Caroline Hillairet,Ying Jiao
  • Publisher : Elsevier
  • Release Date : 2017-02-10
  • Total pages : 190
  • ISBN : 0081011776
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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 ...

Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View
  • Author : Anna Aksamit,Monique Jeanblanc
  • Publisher : Springer
  • Release Date : 2017-11-18
  • Total pages : 150
  • ISBN : 0081011776
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Summary : This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random ...

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  • Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
  • Publisher : World Scientific
  • Release Date : 2014-03-18
  • Total pages : 276
  • ISBN : 0081011776
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Summary : This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:...

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  • Publisher : Springer Nature
  • Release Date : 2019-08-21
  • Total pages : 415
  • ISBN : 0081011776
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Summary : This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply ...

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  • Publisher : Palgrave Macmillan
  • Release Date : 2012-11-29
  • Total pages : 238
  • ISBN : 0081011776
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Summary : Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are ...

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Summary : Read online Mathematical Reviews written by , published by which was released on 2008. Download full Mathematical Reviews Books now! Available in PDF, ePub and Kindle....

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  • Author : Institute of Management Sciences
  • Publisher : Unknown
  • Release Date : 1993
  • Total pages : 212
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Summary : Read online TIMS ORSA Bulletin written by Institute of Management Sciences, published by which was released on 1993. Download full TIMS ORSA Bulletin Books now! Available in PDF, ePub and Kindle....

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  • Author : Ronald N. Kahn,Richard C. Grinold
  • Publisher : McGraw Hill Professional
  • Release Date : 2019-09-13
  • Total pages : 464
  • ISBN : 0081011776
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Summary : From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to ...

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  • Publisher : Unknown
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  • ISBN : 0081011776
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Summary : Read online INFORMS Conference Program written by Institute for Operations Research and the Management Sciences. National Meeting, published by which was released on 2006. Download full INFORMS Conference Program Books now! Available in PDF, ePub and Kindle....

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  • Total pages : 212
  • ISBN : 0081011776
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Summary : Largest pension and tax-exempt funds....

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  • Author : Marc R. D'Alleyrand
  • Publisher : Van Nostrand Reinhold Company
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Summary : Read online Handbook of Image Storage and Retrieval Systems written by Marc R. D'Alleyrand, published by Van Nostrand Reinhold Company which was released on 1992. Download full Handbook of Image Storage and Retrieval Systems Books now! Available in PDF, ePub and Kindle....

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  • ISBN : 0081011776
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Summary : Read online Commercial Applications for High performance Computing written by Howard Jay Siegel,Society of Photo-optical Instrumentation Engineers, published by Society of Photo Optical which was released on 2001. Download full Commercial Applications for High performance Computing Books now! Available in PDF, ePub and Kindle....

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  • Publisher : Unknown
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Summary : Read online Chemical Engineering Progress written by , published by which was released on 2002. Download full Chemical Engineering Progress Books now! Available in PDF, ePub and Kindle....