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 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.

List of contents

1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry

Product details

• Authors: Hillairet Caroline, Caroline Hillairet, Caroline (Assistant Professor Hillairet, Ying Jiao, Ying (ISFA Universite Lyon 1) Jiao
• Publisher: ISTE Press - Elsevier
• Languages: English
• Product format: Hardback
• Released: 30.09.2017
• EAN: 9781785480843
• ISBN: 978-1-78548-084-3
• Dimensions: 152 mm x 12 mm x 229 mm
• Weight: 415 g
• Subject: Social sciences, law, business > Business > General, dictionaries