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 detail a default free market and explore a defaultable market where the risks assets are subjected to the default risk of a counterparty firm, analyzing ways their value may suffer a sudden loss at the counterparty default time. Provides an overview of the role and impact of different information flow in the classical problem of optimal investmentExplores both a default free market and a defaultable market INDICE: Chapter 1: Stochastic toolsChapter 2: Optimal portfolio with initial private informationChapter 3: Optimal portfolio in a defaultable market with counterparty risk

• ISBN: 978-1-78548-084-3
• Editorial: ISTE Press - Elsevier
• Encuadernacion: Cartoné
• Páginas: 150
• Fecha Publicación: 01/09/2016
• Nº Volúmenes: 1
• Idioma: Inglés