An edition of Portfolio optimization with different information flow (2017)

Portfolio optimization with different information flow

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Portfolio optimization with different informa ...
Caroline Hillairet, Caroline H ...
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Last edited by MARC Bot
July 28, 2020 | History
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An edition of Portfolio optimization with different information flow (2017)

Portfolio optimization with different information flow

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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.

Publish Date
Publisher
ISTE Press Ltd, Elsevier Ltd
Language
English
Pages
192

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Subjects

Finance, Investment analysis, Stocks, Portfolio management, BUSINESS & ECONOMICS, Investments
Edition Availability
Cover of: Portfolio optimization with different information flow
Portfolio optimization with different information flow
2017, ISTE Press Ltd, Elsevier Ltd
in English

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Book Details

Table of Contents

Front 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.
3.2. 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.

Edition Notes

Includes bibliographical references (pages 165-173) and index.

Published in
London [England], Oxford [England]
Series
Optimization in insurance and finance set, Optimization in insurance and finance set
Copyright Date
2017

Classifications

Dewey Decimal Class
332.60151
Library of Congress
HG4529.5, HG4636

The Physical Object

Pagination
1 online resource (192 pages)
Number of pages
192

Edition Identifiers

Open Library
OL28412974M
ISBN 10
0081011776, 1785480847
ISBN 13
9780081011775, 9781785480843
OCLC/WorldCat
975046185

Work Identifiers

Work ID
OL20975170W

Source records

marc_claremont_school_theology MARC record
Better World Books record
marc_claremont_school_theology MARC record
Better World Books record

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July 28, 2020 Created by MARC Bot import new book