Portfolio Optimization with Different Information Flow PDF (Adobe DRM) download by Caroline Hillairet

Portfolio Optimization with Different Information Flow

ISTE Press - Elsevier
Publication date: February 2017
ISBN: 9780081011775
Digital Book format: PDF (Adobe DRM)

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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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Portfolio Optimization with Different Information Flow PDF (Adobe DRM) download by Caroline Hillairet
ISTE Press - Elsevier, February 2017
ISBN: 9780081011775
EAN:  9780081011775
PDF (Adobe DRM)
eBook price: $100.00
Portfolio Optimization with Different Information Flow ePub (Adobe DRM) download by Caroline Hillairet
ISTE Press - Elsevier, February 2017
ISBN: 9780081011775
EAN:  2370007755561
ePub (Adobe DRM)
eBook price: $100.00