Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargemen

In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete inform

This volume is an original collection of articles by 44 leading mathematicians on the theme of the future of the discipline. The contributions range from musing

In this paper we develop a new family of estimators of the covariance matrix that relies solely on forward-looking information. These estimators only use curren

This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filt