Portfolio 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 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

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  • Author : Caroline Hillairet
  • Publisher : Elsevier
  • Pages : 190 pages
  • ISBN : 0081011776
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKPortfolio Optimization with Different Information Flow

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

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

Portfolio and Investment Analysis with SAS

Portfolio and Investment Analysis with SAS
  • Author : John B. Guerard,Ziwei Wang,Ganlin Xu
  • Publisher : SAS Institute
  • Release : 03 April 2019
GET THIS BOOKPortfolio and Investment Analysis with SAS

Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and

Financial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R
  • Author : Bernhard Pfaff
  • Publisher : John Wiley & Sons
  • Release : 16 August 2016
GET THIS BOOKFinancial Risk Modelling and Portfolio Optimization with R

Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility

The Science of Algorithmic Trading and Portfolio Management

The Science of Algorithmic Trading and Portfolio Management
  • Author : Robert Kissell
  • Publisher : Academic Press
  • Release : 01 October 2013
GET THIS BOOKThe Science of Algorithmic Trading and Portfolio Management

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book

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

Portfolio Selection

Portfolio Selection
  • Author : Harry M. Markowitz
  • Publisher : Yale University Press
  • Release : 28 January 1968
GET THIS BOOKPortfolio Selection

Applies modern techniques of analysis and computation to the problem of finding combinations of securities that best meet the needs of the private institutional investor. Written primarily with the nonmathematician in mind, although it contains mathematical development of the subject in appendixes.

Convex Optimization

Convex Optimization
  • Author : Stephen Boyd,Stephen P. Boyd,Lieven Vandenberghe
  • Publisher : Cambridge University Press
  • Release : 08 March 2004
GET THIS BOOKConvex Optimization

A comprehensive introduction to the tools, techniques and applications of convex optimization.