Portfolio Optimization with Different Information Flow - Hardcover

Hillairet, Caroline

Hardcover

ISBN 10: 1785480847 ISBN 13: 9781785480843

Verlag: ISTEPELS, 2017

Inhaltsangabe

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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Über die Autorin bzw. den Autor

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.

Details zur Ausgabe

• Verlag: ISTEPELS
• Erscheinungsdatum: 2017
• Sprache: Englisch
• ISBN 10: 1785480847
• ISBN 13: 9781785480843
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 190
• Kontakt zum Hersteller: ELSEVIER; https://www.elsevier.com/es-es; ; Mooswaldallee 6; Freiburg; 79108; Deutschland