Caroline Hillairet,
Caroline (Assistant Professor, CMAP Ecole Polytechnique) Hillairet,
Ying Jiao,
Ying (ISFA Universite Lyon 1) Jiao
e.a.
Portfolio Optimization with Different Information Flow
Gebonden Engels 2017 9781785480843Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
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Inhoudsopgave
<p>1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry</p>
Rubrieken
- advisering
- algemeen management
- coaching en trainen
- communicatie en media
- economie
- financieel management
- inkoop en logistiek
- internet en social media
- it-management / ict
- juridisch
- leiderschap
- marketing
- mens en maatschappij
- non-profit
- ondernemen
- organisatiekunde
- personal finance
- personeelsmanagement
- persoonlijke effectiviteit
- projectmanagement
- psychologie
- reclame en verkoop
- strategisch management
- verandermanagement
- werk en loopbaan