Portfolio Optimization with Different Information Flow
eBook - ePub

Portfolio Optimization with Different Information Flow

Caroline Hillairet,Ying Jiao

  1. 190 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Portfolio Optimization with Different Information Flow

Caroline Hillairet,Ying Jiao

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About This Book

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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Information

Publisher
ISTE Press - Elsevier
Year
2017
ISBN
9780081011775
Topic
Economics
Subtopic
Econometrics
Index
Economics
1

Optimization Problems

Abstract

Stochastic portfolio optimization is a central topic in financial mathematics. In a portfolio optimization problem, we consider a finite family of investable assets whose prices are described by a stochastic process in where T is a positive real number, which denotes the time horizon. An investment strategy is described by a stochastic process, where for denotes the quantity of investment in the ith asset.

Keywords

Brownian-Poisson filtration; Brownian setting; Dual optimization; Dynamic programming principle; Logarithmic utility; Portfolio optimization problem; Power utility functio...

Table of contents

  1. Cover image
  2. Title page
  3. Table of Contents
  4. Copyright
  5. Introduction
  6. 1: Optimization Problems
  7. 2: Enlargement of Filtration
  8. 3: Portfolio Optimization with Credit Risk
  9. 4: Portfolio Optimization with Information Asymmetry
  10. Bibliography
  11. Index
Citation styles for Portfolio Optimization with Different Information Flow

APA 6 Citation

Hillairet, C., & Jiao, Y. (2017). Portfolio Optimization with Different Information Flow ([edition unavailable]). Elsevier Science. Retrieved from https://www.perlego.com/book/1832692/portfolio-optimization-with-different-information-flow-pdf (Original work published 2017)

Chicago Citation

Hillairet, Caroline, and Ying Jiao. (2017) 2017. Portfolio Optimization with Different Information Flow. [Edition unavailable]. Elsevier Science. https://www.perlego.com/book/1832692/portfolio-optimization-with-different-information-flow-pdf.

Harvard Citation

Hillairet, C. and Jiao, Y. (2017) Portfolio Optimization with Different Information Flow. [edition unavailable]. Elsevier Science. Available at: https://www.perlego.com/book/1832692/portfolio-optimization-with-different-information-flow-pdf (Accessed: 15 October 2022).

MLA 7 Citation

Hillairet, Caroline, and Ying Jiao. Portfolio Optimization with Different Information Flow. [edition unavailable]. Elsevier Science, 2017. Web. 15 Oct. 2022.