Statistical Methods in Finance 2019

Dec 16 - 21, 2019
















Abstract

Portfolio optimization in a short time horizon

by Rohini Kumar, Wayne State University, USA

We look at the problem of portfolio optimization in a short time horizon in an incomplete market. Closed-form approximating formulas for the optimal trading strategy 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 Dr. Hussein Nasralah.