Articles liés à Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow - Couverture rigide

Hillairet, Caroline

 
9781785480843: Portfolio Optimization with Different Information Flow
Couverture rigide
ISBN 10 : 1785480847 ISBN 13 : 9781785480843
Editeur : ISTE Press Ltd - Elsevier Inc, 2017

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.

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À propos de l'auteur

Caroline Hillairet is a Professor at ENSAE ParisTech, University Paris Saclay, CREST in France, where she is in charge of the actuarial science program. Her research interests include information asymmetry and enlargement of filtrations, portfolio optimization, credit risk, and the financial issues of longevity risk.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
ISTE Press Ltd - Elsevier Inc
Date d'édition
2017
Langue
anglais
ISBN 10 
1785480847
ISBN 13 
9781785480843
Reliure
Relié
Nombre de pages
190
Coordonnées du fabricant
non disponible
Personne responsable
Barbara Criscuolo
b.criscuolo@lswr.it

Via Spadolini, 7
Milano
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Italie