MARC Record from marc_claremont_school_theology

LEADER: 05349cam a2200769Mi 4500
001 ocn975046185
003 OCoLC
005 20200617073918.3
006 m o d
007 cr |||||||||||
008 170223t20172017enk ob 001 0 eng d
040 $aIDEBK$beng$erda$epn$cIDEBK$dYDX$dEBLCP$dN$T$dNLE$dOCLCF$dOPELS$dMERER$dUPM$dOCLCQ$dIDEBK$dOTZ$dOCLCQ$dOCL$dMERUC$dU3W$dEZ9$dWYU$dOCLCQ$dOL$$dLQU$dUKMGB$dOCLCQ
015 $aGBB711218$2bnb
016 7 $a018189273$2Uk
019 $a972627903$a972734327$a972773528$a973008994$a973019776$a973135630$a973183025$a973316230$a973367604$a973533583$a973768587$a982160138$a982233371$a982363161$a1066185375$a1105196096$a1105564982
020 $a0081011776$q(electronic bk.)
020 $a9780081011775$q(electronic bk.)
020 $z9781785480843
020 $z1785480847
029 1 $aCHBIS$b011069654
029 1 $aCHNEW$b001014170
029 1 $aCHVBK$b499784197
029 1 $aUKMGB$b018189273
035 $a(OCoLC)975046185$z(OCoLC)972627903$z(OCoLC)972734327$z(OCoLC)972773528$z(OCoLC)973008994$z(OCoLC)973019776$z(OCoLC)973135630$z(OCoLC)973183025$z(OCoLC)973316230$z(OCoLC)973367604$z(OCoLC)973533583$z(OCoLC)973768587$z(OCoLC)982160138$z(OCoLC)982233371$z(OCoLC)982363161$z(OCoLC)1066185375$z(OCoLC)1105196096$z(OCoLC)1105564982
037 $a992474$bMIL
050 4 $aHG4529.5
072 7 $aBUS$x027000$2bisacsh
082 04 $a332.60151$223
049 $aMAIN
100 1 $aHillairet, Caroline,$eauthor.
245 10 $aPortfolio optimization with different information flow /$cCaroline Hillairet, Ying Jiao.
264 1 $aLondon [England] ;$aOxford [England] :$bISTE Press Ltd :$bElsevier Ltd,$c2017.
264 4 $c©2017
300 $a1 online resource (192 pages)
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aOptimization in insurance and finance set
505 0 $aFront Cover ; Portfolio Optimization with Different Information Flow; Copyright; Contents; Introduction; Acknowledgments; 1. Optimization Problems; 1.1. Portfolio optimization problem; 1.2. Duality approach; 1.3. Dynamic programming principle; 1.4. Several explicit examples; 1.5. Brownian-Poisson filtration with general utility weights; 2. Enlargement of Filtration; 2.1. Conditional law and density hypothesis; 2.2. Initial enlargement of filtration; 2.3. Progressive enlargement of filtration; 3. Portfolio Optimization with Credit Risk; 3.1. Model setup.
505 8 $a3.2. Direct method with the logarithmic utility3.3. Optimization for standard investor: power utility; 3.4. Decomposition method with the exponential utility; 3.5. Optimization with insider's information; 3.6. Numerical illustrations; 4. Portfolio Optimization with Information Asymmetry; 4.1. The market; 4.2. Optimal strategies in some examples of side-information; 4.3. Numerical illustrations; Bibliography; Index; Back Cover.
520 $aPortfolio 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.
504 $aIncludes bibliographical references (pages 165-173) and index.
590 $bArchive
650 0 $aPortfolio management.
650 0 $aInvestment analysis.
650 0 $aStocks.
650 0 $aInvestments.
650 7 $aBUSINESS & ECONOMICS$xFinance.$2bisacsh
650 7 $aStocks.$2fast$0(OCoLC)fst01133704
650 7 $aInvestments.$2fast$0(OCoLC)fst00978234
650 7 $aInvestment analysis.$2fast$0(OCoLC)fst00978180
650 7 $aPortfolio management.$2fast$0(OCoLC)fst01072072
655 4 $aElectronic books.
700 1 $aJiao, Ying,$eauthor.
776 08 $iPrint version:$tPortfolio Optimization With Different Information Flow.$dElsevier Science Ltd 2016$z9781785480843$z1785480847$w(OCoLC)950450406
830 0 $aOptimization in insurance and finance set.
856 40 $3EBSCOhost$uhttps://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1145214
856 40 $3MyiLibrary$uhttp://www.myilibrary.com?id=992474
856 40 $3ProQuest Ebook Central$uhttps://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=4803599
856 40 $3ScienceDirect$uhttps://www.sciencedirect.com/science/book/9781785480843
856 40 $3ScienceDirect$uhttp://0-www.sciencedirect.com.pugwash.lib.warwick.ac.uk/science/book/9781785480843
856 40 $uhttp://VH7QX3XE2P.search.serialssolutions.com/?V=1.0&L=VH7QX3XE2P&S=JCs&C=TC0001776824&T=marc&tab=BOOKS
938 $aEBL - Ebook Library$bEBLB$nEBL4803599
938 $aEBSCOhost$bEBSC$n1145214
938 $aProQuest MyiLibrary Digital eBook Collection$bIDEB$ncis37595933
938 $aYBP Library Services$bYANK$n13499811
994 $a92$bCST