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Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow
  • Author : Caroline Hillairet
  • Publsiher : Elsevier
  • Release : 10 February 2017
  • ISBN : 0081011776
  • Pages : 190 pages
  • Rating : 4/5 from 21 ratings
GET THIS BOOKPortfolio Optimization with Different Information Flow

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. 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


Portfolio Optimization with Different Information Flow

Portfolio Optimization with Different Information Flow
  • Author : Caroline Hillairet,Ying Jiao
  • Publisher : Elsevier
  • Release : 10 February 2017
GET THIS BOOKPortfolio Optimization with Different Information Flow

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


Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View
  • Author : Anna Aksamit,Monique Jeanblanc
  • Publisher : Springer
  • Release : 18 November 2017
GET THIS BOOKEnlargement of Filtration with Finance in View

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random variable. The aim of this book is to collect the main mathematical results (with proofs) previously spread among numerous papers, great part of which is only available in French. Many


Arbitrage, Credit and Informational Risks

Arbitrage, Credit and Informational Risks
  • Author : Caroline Hillairet,Monique Jeanblanc,Ying Jiao
  • Publisher : World Scientific
  • Release : 18 March 2014
GET THIS BOOKArbitrage, Credit and Informational Risks

This book contains a collection of research papers in mathematical finance covering recent advances in arbitrage, credit and asymmetric information risks. These subjects have attracted academic and practical attention, in particular after the international financial crisis. The volume is split into three parts which treat each of these topics. Contents:Arbitrage:No-arbitrage Conditions and Absolutely Continuous Changes of Measure (Claudio Fontana)A Systematic Approach to Constructing Market Models with Arbitrage (Johannes Ruf and Wolfgang J Runggaldier)On the Existence of


Integration of Information Flow for Greening Supply Chain Management

Integration of Information Flow for Greening Supply Chain Management
  • Author : Adam Kolinski,Davor Dujak,Paulina Golinska-Dawson
  • Publisher : Springer Nature
  • Release : 21 August 2019
GET THIS BOOKIntegration of Information Flow for Greening Supply Chain Management

This book provides a framework for integrating information management in supply chains. Current trends in business practice have made it necessary to explore the potential held by information integration with regard to environmental aspects. Information flow integration provides an opportunity to focus on the creation of a more “green” supply chain. However, it is currently difficult to identify the impact of information integration on greening a supply chain in a wide range of practical applications. Accordingly, this book focuses on


Portfolio Management

Portfolio Management
  • Author : Shan Rajegopal
  • Publisher : Palgrave Macmillan
  • Release : 29 November 2012
GET THIS BOOKPortfolio Management

Technology is accelerating the speed of change, increasing competition in the marketplace and forcing business leaders to be agile and innovative in order to stay ahead of competitors. Where some companies are falling by the wayside, others are excelling in decision-making and execution. What makes the difference? Businesses that are good at managing change have an end-to-end approach in thinking about innovation, investment and implementation. Right at the outset they think about how to establish a culture of innovation, how


Bond Portfolio Optimization

Bond Portfolio Optimization
  • Author : Michael Puhle
  • Publisher : Springer Science & Business Media
  • Release : 08 January 2008
GET THIS BOOKBond Portfolio Optimization

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.


Optimization Methods in Finance

Optimization Methods in Finance
  • Author : Gerard Cornuejols,Reha Tütüncü
  • Publisher : Cambridge University Press
  • Release : 21 December 2006
GET THIS BOOKOptimization Methods in Finance

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems




Encyclopedia of Business Analytics and Optimization

Encyclopedia of Business Analytics and Optimization
  • Author : Wang, John
  • Publisher : IGI Global
  • Release : 28 February 2014
GET THIS BOOKEncyclopedia of Business Analytics and Optimization

As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be



Stochastic Optimization Methods in Finance and Energy

Stochastic Optimization Methods in Finance and Energy
  • Author : Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster
  • Publisher : Springer Science & Business Media
  • Release : 15 September 2011
GET THIS BOOKStochastic Optimization Methods in Finance and Energy

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the


Advances in Active Portfolio Management: New Developments in Quantitative Investing

Advances in Active Portfolio Management: New Developments in Quantitative Investing
  • Author : Ronald N. Kahn,Richard C. Grinold
  • Publisher : McGraw Hill Professional
  • Release : 13 September 2019
GET THIS BOOKAdvances in Active Portfolio Management: New Developments in Quantitative Investing

From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and