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Applied Mathematics Colloquium: Dr Mihai Sirbu

University of Texas at Austin



Date & Time

April 15, 2022, 2:00 pm3:00 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.