Portfolio Optimization with Different Information Flow

✍ Scribed by Hillairet Caroline and Jiao Ying (Auth.)

Publisher: ISTE Press - Elsevier
Year: 2017
Tongue: English
Leaves: 183
Edition: 1st Edition
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Content:
Front matter,Copyright,IntroductionEntitled to full text1 - Optimization Problems, Pages 1-44
2 - Enlargement of Filtration, Pages 45-70
3 - Portfolio Optimization with Credit Risk, Pages 71-139
4 - Portfolio Optimization with Information Asymmetry, Pages 141-163
Bibliography, Pages 165-173
Index, Page 175

✦ Subjects

Home;Books & Journals;Mathematics;Applied Mathematics;Mathematical and Quantitative Methods (General);Portfolio Optimization with Different Information Flow

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