Financial/Actuarial Mathematics Seminar
Multidimensional utility maximization with small nonlinear price impact
In this talk we discuss the multidimensional utility maximisation problem with small nonlinear price impact.
Using homogenization techniques, we obtain a first order expansion of the utility function for small nonlinear price impact.
We give a PDE characterization of the utility loss for small nonlinear price impact and exhibit a family of asymptotically optimal strategies for the problem.
This is a joint work with Erhan Bayraktar and Thomas Caye. Speaker(s): Ibrahim Ekren (UM)
Using homogenization techniques, we obtain a first order expansion of the utility function for small nonlinear price impact.
We give a PDE characterization of the utility loss for small nonlinear price impact and exhibit a family of asymptotically optimal strategies for the problem.
This is a joint work with Erhan Bayraktar and Thomas Caye. Speaker(s): Ibrahim Ekren (UM)
| Building: | East Hall |
|---|---|
| Event Type: | Workshop / Seminar |
| Tags: | Mathematics |
| Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |
