Description: 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.
Price: 116 AUD
Location: Hillsdale, NSW
End Time: 2024-11-17T23:26:38.000Z
Shipping Cost: 32.73 AUD
Product Images
Item Specifics
Return shipping will be paid by: Buyer
Returns Accepted: Returns Accepted
Item must be returned within: 60 Days
Return policy details:
EAN: 9781785480843
UPC: 9781785480843
ISBN: 9781785480843
MPN: N/A
Book Title: Portfolio Optimization with Different Information
Item Length: 23.4 cm
Number of Pages: 190 Pages
Publication Name: Portfolio Optimization with Different Information Flow
Language: English
Publisher: Iste Press Ltd-Elsevier Inc
Item Height: 229 mm
Subject: Economics
Publication Year: 2017
Type: Textbook
Item Weight: 430 g
Author: Ying Jiao, Caroline Hillairet
Item Width: 152 mm
Format: Hardcover
