 5. Ladyzhenskaya-Vorlesung Leipzig
Thaleia Zariphopoulou
(University of Oxford, Mathematical Institute and Oxford-Man Institute of Quantitative Finance)
Stochastic partial differential equations and portfolio choice
am 28. April 2010, 16 Uhr c.t., Felix Klein Hörsaal, Mathematisches Institut, Johannisgasse 26, 04103 Leipzig
Kaffee um 15.45 Uhr im Raum I-40
Plakat
ABSTRACT: A new approach to portfolio management will be introduced. Complementing the traditional one, which is based on terminal time criteria, this approach yields investment processes across all times and offers flexibility to address important questions in portfolio management like, among others, investment choice for different benchmarks, market views and time horizons. The investment performance process solves a stochastic partial differential equation. One of the novel elements in this new approach is the performance volatility process. The class of admissible volatilities will be discussed. Results on the solutions of the performance SPDE and the form of optimal investment policies will be presented.
Organisatoren: Profilbildender Forschungsbereich Mathematik in den Naturwissenschaften der
Universität Leipzig und Max-Planck-Institut für Mathematik in den Naturwissenschaften |
Impressum 
