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 : 47,9 Mb
Publisher : Elsevier
Language : English
Release Date : 10 February 2017
ISBN : 9780081011775
Pages : 190 pages
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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

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