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Portfolio Optimization with Different Information Flow

1st Edition - February 1, 2017

Authors: Caroline Hillairet, Ying Jiao

Language: English
Hardback ISBN:
9 7 8 - 1 - 7 8 5 4 8 - 0 8 4 - 3
eBook ISBN:
9 7 8 - 0 - 0 8 - 1 0 1 1 7 7 - 5

Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtratio… Read more

Portfolio Optimization with Different Information Flow

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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.