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  • PORTFOLIO OPTIMIZATION WITH DIFFERENT INFORMATION FLOW
    ebook
    PORTFOLIO OPTIMIZATION WITH DIFFERENT INFORMATION FLOW
    CAROLINE HILLAIRET / YING JIAO
    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 ...

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