Portfolio Optimization with Different Information Flow
Book Details
Format
Hardback or Cased Book
ISBN-10
1785480847
ISBN-13
9781785480843
Publisher
ISTE Press Ltd - Elsevier Inc
Imprint
ISTE Press Ltd - Elsevier Inc
Country of Manufacture
NL
Country of Publication
GB
Publication Date
Feb 1st, 2017
Print length
190 Pages
Weight
454 grams
Dimensions
16.10 x 23.70 x 1.80 cms
Product Classification:
Investment & securities
Ksh 12,500.00
Manufactured on Demand
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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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