Portfolio optimization with different information flow

MaRDI QIDQ2978935zbMATH OpenFDO

Authors Ying Jiao, Caroline Hillairet

Publication date 2 May 2017

Full work available at URL http://www.sciencedirect.com/science/book/9781785480843

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10) Credit risk (91G40) Optimal stochastic control (93E20)

Recommendations

• A benchmark approach to portfolio optimization under partial information
• scientific article; zbMATH DE number 1200330
• Portfolio optimization under partial information with expert opinions
• Enlargement of filtrations with finance in view
• The value of information for optimal portfolio management

Cited in

(6)

• Portfolio Optimization Using Forward-Looking Information*
• Universal portfolios with side information
• Portfolio optimization based on generalized information theoretic measures
• Some Remarks on Enlargement of Filtration and Finance
• The insider trading problem in a jump-binomial model
• Before and after default: information and optimal portfolio via anticipating calculus

This page was built for publication: Portfolio optimization with different information flow

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2978935)