Portfolio Optimization with Different Information Flow
eBook - ePub

Portfolio Optimization with Different Information Flow

  1. 190 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Portfolio Optimization with Different Information Flow

About this book

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

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Yes, you can access Portfolio Optimization with Different Information Flow by Caroline Hillairet,Ying Jiao in PDF and/or ePUB format, as well as other popular books in Economics & Econometrics. We have over one million books available in our catalogue for you to explore.

Information

Publisher
ISTE Press - Elsevier
Year
2017
Print ISBN
9781785480843
eBook ISBN
9780081011775
Topic
Economics
Subtopic
Econometrics
Index
Economics
1

Optimization Problems

Abstract

Stochastic portfolio optimization is a central topic in financial mathematics. In a portfolio optimization problem, we consider a finite family of investable assets whose prices are described by a stochastic process in where T is a positive real number, which denotes the time horizon. An investment strategy is described by a stochastic process, where for denotes the quantity of investment in the ith asset.

Keywords

Brownian-Poisson filtration; Brownian setting; Dual optimization; Dynamic programming principle; Logarithmic utility; Portfolio optimization problem; Power utility functio...

Table of contents

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Copyright
  5. Introduction
  6. 1: Optimization Problems
  7. 2: Enlargement of Filtration
  8. 3: Portfolio Optimization with Credit Risk
  9. 4: Portfolio Optimization with Information Asymmetry
  10. Bibliography
  11. Index