Portfolio Optimization with Different Information Flow 1st Edition

Portfolio Optimization with Different Information Flow 1st Edition – Ebook Instant Download/Delivery ISBN(s): 9780081011775, 0081011776

Product details:

• ISBN-10: 0081011776
• ISBN-13: 9780081011775
• Author: Caroline Hillairet, Ying Jiao

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 contents:

1. Optimization Problems

2. Enlargement of Filtration

3. Portfolio Optimization with Credit Risk

4. Portfolio Optimization with Information Asymmetry

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