Videos

Portfolio optimization in a short time horizon

Presenter
April 28, 2017
Abstract
Portfolio optimization in a short time horizon Rohini Kumar Wayne State University Mathematics We look at the problem of portfolio optimization in a short time horizon in an incomplete market. Closed-form approximating formulas to the optimal portfolio are obtained using asymptotic techniques. The results are obtained by constructing sub- and super solutions to the "marginal HJB equation" and applying a comparison principle argument. This is joint work with my student Hussein Nasralah.