Wednesday, February 9, 2022
4:00-5:00 PM
On Zoom
Off Campus Location
In this work we study optimal investment when the investor can peek some time unites into the future, but cannot fully take advantage of this knowledge because of quadratic transaction costs. In the Bachelier setting with exponential utility, we give an explicit solution to this control problem with intrinsically infinite-dimensional memory. This is made possible by solving the dual problem where we make use of the theory of Gaussian Volterra integral equations.
Joint work with P.Bank and M.Rasonyi. Speaker(s): Yan Dolinsky (University of Jerusalem)
Joint work with P.Bank and M.Rasonyi. Speaker(s): Yan Dolinsky (University of Jerusalem)
Building: | Off Campus Location |
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Location: | Virtual |
Event Type: | Workshop / Seminar |
Tags: | Mathematics |
Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |