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.

Contents:

1. Problem formulation.
2. Models on finite probability spaces:
   - The complete case.
   - The incomplete case.
3. Remarks on the general case.

Tutor

Dr. Oleksii Mostovyi

Country: USA

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

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