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.
Get Portfolio Optimization with Different Information Flow by at the best price and quality guranteed only at Werezi Africa largest book ecommerce store. The book was published by ISTE Press Ltd - Elsevier Inc and it has pages. Enjoy Shopping Best Offers & Deals on books Online from Werezi - Receive at your doorstep - Fast Delivery - Secure mode of Payment
