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.