Malliavin Calculus for Lévy Processes with Applications to Finance
Malliavin Calculus for Lévy Processes with Applications to Finance
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DOI：
10.1007/978-3-540-78572-9
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发表时间：
2008-11
期刊：
影响因子：
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通讯作者：
G. Nunno;B. Øksendal;F. Proske
中科院分区：
文献类型：
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作者：
G. Nunno;B. Øksendal;F. Proske
本章的目的是提出一个随机控制，特别是投资组合优化，通过Malliavin演算和前向积分技术的最新成果的概述。令人惊讶的是，在非常一般的情况下，可以给出最优投资组合存在的特征。特别是，我们感兴趣的是从交易者的角度来研究投资组合优化问题，交易者可能有：比市场噪声产生的信息更少的信息，这里称为部分信息。这样的交易者对未来事件有某种形式的预期，这里称之为内部信息
The purpose of this chapter is to present an overview of recent results on stochastic control, in particular, portfolio optimization, achieved via techniques of Malliavin calculus and forward integration. Quite surprisingly, a characterization of the existence of an optimal portfolio can be given in very general settings. In particular, we are interested in studying portfolio optimization problems from the point of view of a trader who may have:Lessinformation than the one produced by the market noises, here calledpartial information.Moreinformation than the one produced by the market noises. Such a trader has some form of anticipation of future event, here calledinside information