Portfolio Optimization with Different Information Flow

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


Read or download book entitled Portfolio Optimization with Different Information Flow written by Caroline Hillairet which was release on 10 February 2017, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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 Date : 2017-02-10
  • Total pages : 190
  • ISBN : 0081011776
GET BOOK

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 ...

Enlargement of Filtration with Finance in View

Enlargement of Filtration with Finance in View
  • Author : Anna Aksamit,Monique Jeanblanc
  • Publisher : Springer
  • Release Date : 2017-11-18
  • Total pages : 150
  • ISBN : 0081011776
GET BOOK

Summary : 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 ...

Mathematical Reviews

Mathematical Reviews
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2003
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Mathematical Reviews written by , published by which was released on 2003. Get Mathematical Reviews Books now! Available in PDF, ePub and Kindle....

TIMS ORSA Bulletin

TIMS ORSA Bulletin
  • Author : Institute of Management Sciences
  • Publisher : Unknown
  • Release Date : 1993
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online TIMS ORSA Bulletin written by Institute of Management Sciences, published by which was released on 1993. Get TIMS ORSA Bulletin Books now! Available in PDF, ePub and Kindle....

Journal of Investment Management

Journal of Investment Management
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Journal of Investment Management written by , published by which was released on 2006. Get Journal of Investment Management Books now! Available in PDF, ePub and Kindle....

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 Date : 2019-09-13
  • Total pages : 464
  • ISBN : 0081011776
GET BOOK

Summary : 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 ...

SPE Reservoir Evaluation Engineering

SPE Reservoir Evaluation   Engineering
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2002
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online SPE Reservoir Evaluation Engineering written by , published by which was released on 2002. Get SPE Reservoir Evaluation Engineering Books now! Available in PDF, ePub and Kindle....

INFORMS Conference Program

INFORMS Conference Program
  • Author : Institute for Operations Research and the Management Sciences. National Meeting
  • Publisher : Unknown
  • Release Date : 2006
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online INFORMS Conference Program written by Institute for Operations Research and the Management Sciences. National Meeting, published by which was released on 2006. Get INFORMS Conference Program Books now! Available in PDF, ePub and Kindle....

Directory of Pension Funds and Their Investment Managers

Directory of Pension Funds and Their Investment Managers
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2003
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Largest pension and tax-exempt funds....

Handbook of Image Storage and Retrieval Systems

Handbook of Image Storage and Retrieval Systems
  • Author : Marc R. D'Alleyrand
  • Publisher : Van Nostrand Reinhold Company
  • Release Date : 1992
  • Total pages : 370
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Handbook of Image Storage and Retrieval Systems written by Marc R. D'Alleyrand, published by Van Nostrand Reinhold Company which was released on 1992. Get Handbook of Image Storage and Retrieval Systems Books now! Available in PDF, ePub and Kindle....

Commercial Applications for High performance Computing

Commercial Applications for High performance Computing
  • Author : Howard Jay Siegel,Society of Photo-optical Instrumentation Engineers
  • Publisher : Society of Photo Optical
  • Release Date : 2001
  • Total pages : 206
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Commercial Applications for High performance Computing written by Howard Jay Siegel,Society of Photo-optical Instrumentation Engineers, published by Society of Photo Optical which was released on 2001. Get Commercial Applications for High performance Computing Books now! Available in PDF, ePub and Kindle....

Chemical Engineering Progress

Chemical Engineering Progress
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2002
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Chemical Engineering Progress written by , published by which was released on 2002. Get Chemical Engineering Progress Books now! Available in PDF, ePub and Kindle....

Statistical Decision Problems

Statistical Decision Problems
  • Author : Michael Zabarankin,Stan Uryasev
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-12-16
  • Total pages : 249
  • ISBN : 0081011776
GET BOOK

Summary : Statistical Decision Problems presents a quick and concise introduction into the theory of risk, deviation and error measures that play a key role in statistical decision problems. It introduces state-of-the-art practical decision making through twenty-one case studies from real-life applications. The case studies cover a broad area of topics and ...

Finance Treasury

Finance   Treasury
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1995
  • Total pages : 212
  • ISBN : 0081011776
GET BOOK

Summary : Download or read online Finance Treasury written by , published by which was released on 1995. Get Finance Treasury Books now! Available in PDF, ePub and Kindle....

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA

Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA
  • Author : Antonio Daniel Silva,Rui Ferreira Neves,Nuno Horta
  • Publisher : Springer
  • Release Date : 2016-02-11
  • Total pages : 95
  • ISBN : 0081011776
GET BOOK

Summary : This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different ...