Portfolio Optimization with Different Information Flow

This book PDF is perfect for those who love Business & Economics genre, written by Caroline Hillairet and published by Elsevier which was released on 10 February 2017 with total hardcover pages 190. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related Portfolio Optimization with Different Information Flow books below.

Portfolio Optimization with Different Information Flow
Author : Caroline Hillairet
File Size : 50,9 Mb
Publisher : Elsevier
Language : English
Release Date : 10 February 2017
ISBN : 9780081011775
Pages : 190 pages
Get Book

Portfolio Optimization with Different Information Flow by Caroline Hillairet 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

Portfolio Optimization with Different Information Flow

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

Get Book
Enlargement of Filtration with Finance in View

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

Get Book
Mathematics Going Forward

This volume is an original collection of articles by 44 leading mathematicians on the theme of the future of the discipline. The contributions range from musings on the future of specific fields, to analyses of the history of the discipline, to discussions of open problems and conjectures, including first solutions of

Get Book
Data driven Modeling and Optimization  Applications to Social Computing

Download or read online Data driven Modeling and Optimization Applications to Social Computing written by Chao Gao,Zhanwei Du,Lin Wang,Peican Zhu, published by Frontiers Media SA which was released on 2022-09-14. Get Data driven Modeling and Optimization Applications to Social Computing Books now! Available in PDF, ePub

Get Book
IT  Information Technology  Portfolio Management Step by Step

Praise for IT Portfolio Management Step-by-Step "Bryan Maizlish and Robert Handler bring their deep experience in IT 'value realization' to one of the most absent of all IT management practices--portfolio management. They capture the essence of universally proven investment practices and apply them to the most difficult of challenges--returning high

Get Book
Metaheuristic Approaches to Portfolio Optimization

Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns

Get Book
Handbook of Statistical Analysis and Data Mining Applications

Handbook of Statistical Analysis and Data Mining Applications, Second Edition, is a comprehensive professional reference book that guides business analysts, scientists, engineers and researchers, both academic and industrial, through all stages of data analysis, model building and implementation. The handbook helps users discern technical and business problems, understand the strengths

Get Book
Machine Learning and Data Sciences for Financial Markets

Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques

Get Book