La bibliothèque des professionnels du Management proposée par Cyberlibris et la Librairie Eyrolles

Close

Popularité

La popularité est une évaluation communautaire de chaque livre calculée sur une échelle de 0 à 100.

Cette évaluation repose sur une agrégation de diverses quantités qui reflètent la vie de chaque livre au sein de la communauté des lecteurs. Cette vie s'exprime en fréquence de lecture, nombre d'étagères publiques et privées dans lesquelles le livre est présent.

Un calcul 'propriétaire' mélangeant ces quantités restitue sous la forme synthétique d'un score l'aura collective du livre.

Close

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.



Back

Portfolio Optimization with Different Information Flow

QRcode
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

Voir toute la description...

Auteur(s): Hillairet, Caroline • Jiao, Ying

Editeur: Elsevier Science

Année de Publication: 2017

pages: 192

Langue: Anglais

ISBN: 978-1-78548-084-3

eISBN: 978-0-08-101177-5

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

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

Voir toute la description...