Description: 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.
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EAN: 9781785480843
UPC: 9781785480843
ISBN: 9781785480843
MPN: N/A
Book Title: Portfolio Optimization with Different Information
Item Length: 23.4 cm
Number of Pages: 190 Pages
Language: English
Publication Name: Portfolio Optimization with Different Information Flow
Publisher: Iste Press Ltd-Elsevier Inc
Publication Year: 2017
Subject: Economics
Item Height: 229 mm
Item Weight: 430 g
Type: Textbook
Author: Ying Jiao, Caroline Hillairet
Item Width: 152 mm
Format: Hardcover
