Si avvisa che in data 8/1/2019, alle ore 16:30 precise, presso l’Aula Seminari del III piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:
Marina Santacroce, Politecnico di Torino
Expected utility maximization beyond the Markovian setting
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.
This talk is based on joint works with M. Mania, R. Tevzadze and B. Trivellato.