TY  - BOOK
AU  - Hillairet,Caroline
AU  - Jiao,Ying
TI  - Portfolio optimization with different information flow
T2  - Optimization in insurance and finance set
SN  - 9781785480843 (hbk.)
U1  - 332.60151 23
PY  - 2017///
CY  - London, UK : 
PB  - Elsevier
KW  - Portfolio management
N1  - Includes bibliographical references and index; 1. Optimization Problems --
2. Enlargement of Filtration --
3. Portfolio Optimization with Credit Risk --
4. Portfolio Optimization with Information Asymmetry
N2  - 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
ER  -