Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, February 09, 2022
Location:  On Zoom Virtual (4:00 PM to 5:00 PM)

Title:  Utility Maximization with Peeking into the Future

Abstract:   In this work we study optimal investment when the investor can peek some time unites into the future, but cannot fully take advantage of this knowledge because of quadratic transaction costs. In the Bachelier setting with exponential utility, we give an explicit solution to this control problem with intrinsically infinite-dimensional memory. This is made possible by solving the dual problem where we make use of the theory of Gaussian Volterra integral equations.

Joint work with P.Bank and M.Rasonyi.

Files: 7533_slides.pdf

Speaker:  Yan Dolinsky
Institution:  University of Jerusalem

Event Organizer:     


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