Optimal Investment in Incomplete Markets
Course duration: 3 h
We will consider the problem of dynamical optimization of a portfolio in both complete and incomplete financial markets with respect to a given utility function U in finite probability space settings.
- Problem formulation.
- Models on finite probability spaces:
- The complete case.
- The incomplete case.
- Remarks on the general case.
Dr. Oleksii Mostovyi
Place of employment: The University of Texas at Austin, Department of Mathematics
Spheres of researches: Mathematical Finance, Stochastic Analysis, Convex Analysis, Optimization, Applied Probability, and Numerical Analysis