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Métodos Matemáticos em Finanças

Expected utility maximization beyond the Markovian setting
Marina Santacroce

Politecnico di Torino
Segunda-feira, 5 de março de 2018, 18:00
Sala 232

An overview of the recent approaches used to solve portfolio optimization problems for general market models is given.
In particular, the focus will be on dynamic programming techniques and on their applicability to expected utility maximization in non-Markovian settings for classical utilities (power, exponential or log type), including the case of partial information. Moreover, another method which works for general utilities is presented and compared to recent results obtained by dynamic programming.