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Applied Mathematics Colloquium: Dr Mihai Sirbu

University of Texas at Austin

Friday, April 15, 2022
2:00 PM – 3:00 PM
Title: Utility maximization in incomplete markets and sensitivity with respect to models

Abstract: We will review the problem of optimal investment in general semi-martingale markets. Then, we will describe some results (joint with Oleksii Mostovyi) on approximations for value functions and optimal strategies with respect to small changes in the underlying models. 
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