University of Texas at Austin
Date & Time
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.