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.
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