Téléchargez le livre : Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow

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Iste Press - Elsevier


Paru le : 2017-02-10

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Description
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. - Presents recent progress of stochastic portfolio optimization with exotic filtrations - Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem - Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations
Pages
190 pages
Collection
n.c
Parution
2017-02-10
Marque
Iste Press - Elsevier
EAN papier
9781785480843
EAN PDF
9780081011775
Informations sur l'ebook
Nombre pages copiables
19
Nombre pages imprimables
19
Taille du fichier
9687 Ko
Prix
75,91 €
EAN EPUB SANS DRM
9780081011775
Informations sur l'ebook
Prix
75,91 €

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