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Portfolio Optimization with Different Information Flow

Autor Caroline Hillairet, Ying Jiao
en Limba Engleză Hardback – 31 ian 2017
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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Specificații

ISBN-13: 9781785480843
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 finance

Cuprins

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