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The Resource Portfolio optimization with different information flow, Caroline Hillairet, Ying Jiao

Portfolio optimization with different information flow, Caroline Hillairet, Ying Jiao

Label
Portfolio optimization with different information flow
Title
Portfolio optimization with different information flow
Statement of responsibility
Caroline Hillairet, Ying Jiao
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by Publisher
Cataloging source
BTCTA
http://library.link/vocab/creatorName
Hillairet, Caroline
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Jiao, Ying
Series statement
Optimization in insurance and finance set
http://library.link/vocab/subjectName
Portfolio management
Label
Portfolio optimization with different information flow, Caroline Hillairet, Ying Jiao
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 165-173) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
ocn950450406
Dimensions
24 cm.
Extent
xiv, 173 pages
Isbn
9781785480843
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)950450406
Label
Portfolio optimization with different information flow, Caroline Hillairet, Ying Jiao
Publication
Bibliography note
Includes bibliographical references (pages 165-173) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
ocn950450406
Dimensions
24 cm.
Extent
xiv, 173 pages
Isbn
9781785480843
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
System control number
(OCoLC)950450406

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