Portfolio Optimization with Different Information Flow

Erscheinungsjahr 2017
ISBN: 978-1-78548-084-3
Verlag: Elsevier Science & Technology

Buch, Englisch, 190 Seiten, Format (B × H): 156 mm x 237 mm, Gewicht: 444 g

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.

Zielgruppe

Graduate students, rersearchers, portfolio managers and academics worldwide working in all subdisciplines of economics, mathematics and finance

Autoren/Hrsg.

Caroline, Hillairet

Jiao, Ying

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Mathematik | Informatik Mathematik Stochastik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Optimierung

Inhaltsverzeichnis

1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry

Über Autor(innen)

Jiao, Ying
Ying Jiao is a Professor at University of Lyon in France. Her research interests include mathematical finance, the general theory of processes and enlargement of filtrations, and Stein's method.

Caroline, Hillairet
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.