Portfolio Optimization with Different Information Flow

This important work provides an overview of the role and impact of different information flow in the classical problem of optimal investment, exploring both a default free market and a defaultable market

Caroline Hillairet (Author), Ying Jiao (Author)

9781785480843, Elsevier Science

Hardback, published 1 February 2017

190 pages
22.9 x 15.1 x 1.9 cm, 0.43 kg

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.

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

Subject Areas: Business mathematics & systems [KJQ], Econometrics [KCH]