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Portfolio optimization with differen...

Hillairet, Caroline,

Portfolio optimization with different information flow /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Portfolio optimization with different information flow /Caroline Hillairet, Ying Jiao.
Author:	Hillairet, Caroline,
other author:	Jiao, Ying,
Description:	1 online resource (192 pages).
Subject:	Portfolio management.
Online resource:	https://www.sciencedirect.com/science/book/9781785480843
ISBN:	9780081011775$q(electronic bk.)

Portfolio optimization with different information flow /
Hillairet, Caroline,

Portfolio optimization with different information flow /Caroline Hillairet, Ying Jiao. - 1 online resource (192 pages). - Optimization in insurance and finance set. - Optimization in insurance and finance set..

Includes bibliographical references (pages 165-173) and index.

Front Cover ; Portfolio Optimization with Different Information Flow; Copyright; Contents; Introduction; Acknowledgments; 1. Optimization Problems; 1.1. Portfolio optimization problem; 1.2. Duality approach; 1.3. Dynamic programming principle; 1.4. Several explicit examples; 1.5. Brownian-Poisson filtration with general utility weights; 2. Enlargement of Filtration; 2.1. Conditional law and density hypothesis; 2.2. Initial enlargement of filtration; 2.3. Progressive enlargement of filtration; 3. Portfolio Optimization with Credit Risk; 3.1. Model setup.

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.

ISBN: 9780081011775$q(electronic bk.)Subjects--Topical Terms:

186383
Portfolio management.
Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG4529.5

Dewey Class. No.: 332.67/8

Portfolio optimization with different information flow /
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245 1 0 $a Portfolio optimization with different information flow / $c Caroline Hillairet, Ying Jiao.
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300 $a 1 online resource (192 pages).
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504 $a Includes bibliographical references (pages 165-173) and index.
505 0 $a Front Cover ; Portfolio Optimization with Different Information Flow; Copyright; Contents; Introduction; Acknowledgments; 1. Optimization Problems; 1.1. Portfolio optimization problem; 1.2. Duality approach; 1.3. Dynamic programming principle; 1.4. Several explicit examples; 1.5. Brownian-Poisson filtration with general utility weights; 2. Enlargement of Filtration; 2.1. Conditional law and density hypothesis; 2.2. Initial enlargement of filtration; 2.3. Progressive enlargement of filtration; 3. Portfolio Optimization with Credit Risk; 3.1. Model setup.
505 8 $a 3.2. Direct method with the logarithmic utility3.3. Optimization for standard investor: power utility; 3.4. Decomposition method with the exponential utility; 3.5. Optimization with insider's information; 3.6. Numerical illustrations; 4. Portfolio Optimization with Information Asymmetry; 4.1. The market; 4.2. Optimal strategies in some examples of side-information; 4.3. Numerical illustrations; Bibliography; Index; Back Cover.
520 $a 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.
650 0 $a Portfolio management. $3 186383
650 0 $a Investment analysis. $3 184941
650 0 $a Stocks. $3 186382
650 0 $a Investments. $3 187451
655 4 $a Electronic books. $2 local. $3 214472
700 1 $a Jiao, Ying, $e author. $3 846497
830 0 $a Optimization in insurance and finance set. $3 839628
856 4 0 $u https://www.sciencedirect.com/science/book/9781785480843