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 filtrationsShows you how to apply the tools of the enlargement of filtrations to resolve the optimization problemUses tools from various fields from enlargement of filtration theory, stochastic calculus, convex analysis, optimal stochastic control, and backward stochastic differential equations

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