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This important work provides an overview of the role and impact of different information flow in the classical problem of optimal investment, exploring both a default free market and a defaultable market

1. Optimization Problems2. Enlargement of Filtration3. Portfolio Optimization with Credit Risk4. Portfolio Optimization with Information Asymmetry

About the Author

Caroline Hillairet is a Professor at ENSAE ParisTech, University Paris Saclay, CREST in France, where she is in charge of the actuarial science program. Her research interests include information asymmetry and enlargement of filtrations, portfolio optimization, credit risk, and the financial issues of longevity risk. Ying Jiao is a Professor at University of Lyon in France. Her research interests include mathematical finance, the general theory of processes and enlargement of filtrations, and Stein's method.

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About the Author