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.
Committee
Workshop
Key Dates
Communication
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