Portfolio Optimization with Different Information Flow
Autor Caroline Hillairet, Ying Jiaoen Limba Engleză Hardback – feb 2017
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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Specificații
ISBN-13: 9781785480843
ISBN-10: 1785480847
Pagini: 190
Dimensiuni: 152 x 229 x 18 mm
Greutate: 0.48 kg
Editura: ELSEVIER SCIENCE
ISBN-10: 1785480847
Pagini: 190
Dimensiuni: 152 x 229 x 18 mm
Greutate: 0.48 kg
Editura: ELSEVIER SCIENCE
Public țintă
Graduate students, rersearchers, portfolio managers and academics worldwide working in all subdisciplines of economics, mathematics and financeCuprins
1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry