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
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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
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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
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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 ...

IT Information Technology Portfolio Management Step by Step

IT  Information Technology  Portfolio Management Step by Step
  • Author : Bryan Maizlish,Robert Handler
  • Publisher : John Wiley & Sons
  • Release Date : 2010-10-07
  • Total pages : 400
  • ISBN : 0081011776
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Summary : Praise for IT Portfolio Management Step-by-Step "Bryan Maizlish and Robert Handler bring their deep experience in IT 'value realization' to one of the most absent of all IT management practices--portfolio management. They capture the essence of universally proven investment practices and apply them to the most difficult of challenges--returning high ...

Evolutionary Multi Criterion Optimization

Evolutionary Multi Criterion Optimization
  • Author : Carlos M. Fonseca,Peter J. Fleming,Eckart Zitzler,Kalyanmoy Deb,Lothar Thiele
  • Publisher : Springer
  • Release Date : 2003-08-03
  • Total pages : 820
  • ISBN : 0081011776
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Summary : This book constitutes the refereed proceedings of the Second International Conference on Evolutionary Multi-Criterion Optimization, EMO 2003, held in Faro, Portugal, in April 2003. The 56 revised full papers presented were carefully reviewed and selected from a total of 100 submissions. The papers are organized in topical sections on objective handling and problem decomposition, ...

Handbook of Statistical Analysis and Data Mining Applications

Handbook of Statistical Analysis and Data Mining Applications
  • Author : Robert Nisbet,Gary Miner,Ken Yale
  • Publisher : Elsevier
  • Release Date : 2017-11-09
  • Total pages : 822
  • ISBN : 0081011776
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Summary : Handbook of Statistical Analysis and Data Mining Applications, Second Edition, is a comprehensive professional reference book that guides business analysts, scientists, engineers and researchers, both academic and industrial, through all stages of data analysis, model building and implementation. The handbook helps users discern technical and business problems, understand the strengths ...

Paris Princeton Lectures on Mathematical Finance 2002

Paris Princeton Lectures on Mathematical Finance 2002
  • Author : Peter Bank,Fabrice Baudoin,Hans Föllmer,L. C. G. Rogers,Halil Mete Soner,Nizar Touzi
  • Publisher : Springer
  • Release Date : 2003-12-15
  • Total pages : 178
  • ISBN : 0081011776
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Summary : The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for ...

Issues in Information Science Information Technology Systems and Security 2011 Edition

Issues in Information Science  Information Technology  Systems  and Security  2011 Edition
  • Author : Anonim
  • Publisher : ScholarlyEditions
  • Release Date : 2012-01-09
  • Total pages : 151
  • ISBN : 0081011776
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Summary : Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Information Science—Information Technology, Systems, and Security. The editors have built Issues in Information Science: Information Technology, Systems, and Security: 2011 Edition on the vast information databases of ScholarlyNews.™ ...

Stock Market Volatility

Stock Market Volatility
  • Author : Greg N. Gregoriou
  • Publisher : CRC Press
  • Release Date : 2009-04-08
  • Total pages : 651
  • ISBN : 0081011776
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Summary : Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on ...

Project Governance

Project Governance
  • Author : Ralf Muller
  • Publisher : Routledge
  • Release Date : 2017-05-15
  • Total pages : 124
  • ISBN : 0081011776
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Summary : Without a governance structure, an organization runs the risk of conflicts and inconsistencies between the various means of achieving organizational goals, the processes and resources, causing costly inefficiencies that impact negatively on both smooth running and bottom line profitability. However, the frequency of projects failing to meet these corporate objectives ...

Product Focused Software Process Improvement

Product Focused Software Process Improvement
  • Author : Maurizio Morisio,Marco Torchiano,Andreas Jedlitschka
  • Publisher : Springer Nature
  • Release Date : 2020-11-20
  • Total pages : 462
  • ISBN : 0081011776
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Summary : This book constitutes the refereed proceedings of the 21st International Conference on Product-Focused Software Process Improvement, PROFES 2020, held in Turin, Italy, in November 2020. Due to COVID-19 pandemic the conference was held virtually. The 19 revised full papers and 3 short papers presented were carefully reviewed and selected from 68 submissions. The papers cover ...

Continuous time Stochastic Control and Optimization with Financial Applications

Continuous time Stochastic Control and Optimization with Financial Applications
  • Author : Huyên Pham
  • Publisher : Springer Science & Business Media
  • Release Date : 2009-05-28
  • Total pages : 232
  • ISBN : 0081011776
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Summary : Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by ...

Computational Intelligence Applications in Business Intelligence and Big Data Analytics

Computational Intelligence Applications in Business Intelligence and Big Data Analytics
  • Author : Vijayan Sugumaran,Arun Kumar Sangaiah,Arunkumar Thangavelu
  • Publisher : CRC Press
  • Release Date : 2017-06-26
  • Total pages : 362
  • ISBN : 0081011776
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Summary : There are a number of books on computational intelligence (CI), but they tend to cover a broad range of CI paradigms and algorithms rather than provide an in-depth exploration in learning and adaptive mechanisms. This book sets its focus on CI based architectures, modeling, case studies and applications in big ...

Metaheuristic Approaches to Portfolio Optimization

Metaheuristic Approaches to Portfolio Optimization
  • Author : Ray, Jhuma,Mukherjee, Anirban,Dey, Sadhan Kumar,Klepac, Goran
  • Publisher : IGI Global
  • Release Date : 2019-06-22
  • Total pages : 263
  • ISBN : 0081011776
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Summary : Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns ...

Market Microstructure in Emerging and Developed Markets

Market Microstructure in Emerging and Developed Markets
  • Author : H. Kent Baker,Halil Kiymaz
  • Publisher : John Wiley & Sons
  • Release Date : 2013-07-31
  • Total pages : 544
  • ISBN : 0081011776
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Summary : A comprehensive guide to the dynamic area of finance known asmarket microstructure Interest in market microstructure has grown dramatically inrecent years due largely in part to the rapid transformation of thefinancial market environment by technology, regulation, andglobalization. Looking at market transactions at the most granularlevel—and taking into account market ...

Artificial Intelligence in Financial Markets

Artificial Intelligence in Financial Markets
  • Author : Christian L. Dunis,Peter W. Middleton,Andreas Karathanasopolous,Konstantinos Theofilatos
  • Publisher : Springer
  • Release Date : 2016-11-21
  • Total pages : 344
  • ISBN : 0081011776
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Summary : As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners are finding ever more complex solutions to financial challenges. Neural networking is a highly effective, trainable algorithmic approach which emulates certain aspects of human brain functions, and is used ...