Portfolio optimization with different information flow:
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 en...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London [England]
ISTE Press Ltd
2017
|
| Schriftenreihe: | Optimization in insurance and finance set
|
| Schlagworte: | |
| Online-Zugang: | FAW01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | Includes bibliographical references (pages 165-173) and index |
| Beschreibung: | 1 online resource (192 pages) |
| ISBN: | 0081011776 9780081011775 |
Internformat
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| 245 | 1 | 0 | |a Portfolio optimization with different information flow |c Caroline Hillairet, Ying Jiao |
| 264 | 1 | |a London [England] |b ISTE Press Ltd |c 2017 | |
| 264 | 4 | |c © 2017 | |
| 300 | |a 1 online resource (192 pages) | ||
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| 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 | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author | Hillairet, Caroline Jiao, Ying |
| author_facet | Hillairet, Caroline Jiao, Ying |
| author_role | aut aut |
| author_sort | Hillairet, Caroline |
| author_variant | c h ch y j yj |
| building | Verbundindex |
| bvnumber | BV045382286 |
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| dewey-full | 332.60151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151 |
| dewey-search | 332.60151 |
| dewey-sort | 3332.60151 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV045382286 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T08:16:37Z |
| institution | BVB |
| isbn | 0081011776 9780081011775 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030768619 |
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| physical | 1 online resource (192 pages) |
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| publishDate | 2017 |
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| series2 | Optimization in insurance and finance set |
| spelling | Hillairet, Caroline Verfasser aut Portfolio optimization with different information flow Caroline Hillairet, Ying Jiao London [England] ISTE Press Ltd 2017 © 2017 1 online resource (192 pages) txt rdacontent c rdamedia cr rdacarrier Optimization in insurance and finance set Includes bibliographical references (pages 165-173) and index 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 BUSINESS & ECONOMICS / Finance bisacsh Stocks fast Investments fast Investment analysis fast Portfolio management fast Portfolio management Investment analysis Stocks Investments Jiao, Ying aut Erscheint auch als Druck-Ausgabe 9781785480843 Erscheint auch als Druck-Ausgabe 1785480847 http://www.sciencedirect.com/science/book/9781785480843 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hillairet, Caroline Jiao, Ying Portfolio optimization with different information flow BUSINESS & ECONOMICS / Finance bisacsh Stocks fast Investments fast Investment analysis fast Portfolio management fast Portfolio management Investment analysis Stocks Investments |
| title | Portfolio optimization with different information flow |
| title_auth | Portfolio optimization with different information flow |
| title_exact_search | Portfolio optimization with different information flow |
| title_full | Portfolio optimization with different information flow Caroline Hillairet, Ying Jiao |
| title_fullStr | Portfolio optimization with different information flow Caroline Hillairet, Ying Jiao |
| title_full_unstemmed | Portfolio optimization with different information flow Caroline Hillairet, Ying Jiao |
| title_short | Portfolio optimization with different information flow |
| title_sort | portfolio optimization with different information flow |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Stocks fast Investments fast Investment analysis fast Portfolio management fast Portfolio management Investment analysis Stocks Investments |
| topic_facet | BUSINESS & ECONOMICS / Finance Stocks Investments Investment analysis Portfolio management |
| url | http://www.sciencedirect.com/science/book/9781785480843 |
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