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Dynamics of Large Structures and Inverse Problems

Mathematical and Mechanical Engineering Set Volume 5

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Civil Engineering Structures According to the Eurocodes

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Swelling Concrete in Dams and Hydraulic Structures

DSC 2017

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Earthquake Occurrence

Short- and Long-term Models and their Validation

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The Chemostat

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From Prognostics and Health Systems Management to Predictive Maintenance 2

Knowledge, Traceability and Decision

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First Hitting Time Regression Models

Lifetime Data Analysis Based on Underlying Stochastic Processes

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The Innovative Company

An Ill-defined Object

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Reading and Writing Knowledge in Scientific Communities

Digital Humanities and Knowledge Construction

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Going Past Limits To Growth

A Report to the Club of Rome EU-Chapter

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Portfolio Optimization with Different Information Flow

Optimization in Insurance and Finance Set

Caroline Hillairet, University Paris Saclay, CREST, France Ying Jiao, University of Lyon, France

ISBN: 9781785480843

Publication Date: February 2017   Hardback   190 pp.

100 USD


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Description

This book presents recent progress made in stochastic portfolio optimization with asymmetry information, modeled through different filtrations.
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.

Contents

1. Optimization Problems.
2. Enlargement of Filtration.
3. Portfolio Optimization with Credit Risk.
4. Portfolio Optimization with Information Asymmetry

About the Authors

Caroline Hillairet is Professor at ENSAE ParisTech, University Paris Saclay, CREST in France, where she is in charge of the actuarial science program. Her research interests include information asymmetry and enlargement of filtrations, portfolio optimization, credit risk, and the financial issues of longevity risk.
Ying Jiao is Professor at University of Lyon in France. Her research interests include mathematical finance, the general theory of processes and enlargement of filtrations, and Stein's method.

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