Portfolio Optimization with Different Information Flow

ISBN-13: 9781785480843 / Angielski / Twarda / 2017 / 190 str.

Caroline Hillairet; Ying Jiao

Opis

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.

• Presents recent progress of stochastic portfolio optimization with exotic filtrations
• Shows you how to apply the tools of the enlargement of filtrations to resolve the optimization problem
• Uses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

Spis treści

1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry

O autorze

Caroline Hillairet is a Professor at ENSAE ParisTech, University Paris Saclay, CREST in France, where she is in charge of the actuarial science program. Her research interests include information asymmetry and enlargement of filtrations, portfolio optimization, credit risk, and the financial issues of longevity risk. Ying Jiao is a Professor at University of Lyon in France. Her research interests include mathematical finance, the general theory of processes and enlargement of filtrations, and Stein's method.