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Anotácia knihy

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

Parametre knihy

Zaradenie knihy Knihy po anglicky Economics, finance, business & management Economics Econometrics

• Celý názov: Portfolio Optimization with Different Information Flow
• Autor: Caroline Hillairet, Ying Jiao
• Jazyk: Angličtina
• Väzba: Pevná
• Počet strán: 190
• EAN: 9781785480843
• ISBN: 1785480847
• ID: 10000653
• Nakladateľ: ISTE Press Ltd - Elsevier Inc
• Hmotnosť: 454 g
• Rozmery: 161 × 237 × 18 mm
• Dátum vydania: 01. February 2017

Obľúbené z iného súdka

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