Date: Thursday, November 01, 2012
Location: 1360 East Hall (3:00 PM to 4:00 PM)
Title: Portfolio Optimization and Stochastic Volatility Asymptotics
Abstract: We study the Merton problem of portfolio optimization over a finite horizon when volatility is stochastic and fluctuating on different time scales. We develop a perturbation method for the associated nonlinear PDE and we show how to relate market data implied volatility skews to optimal strategies.
Joint work in progress with Ronnie Sircar and Thaleia Zariphopoulou.
Speaker: Jean-Pierre Fouque
Institution: UCSB
Event Organizer: Erhan Bayraktar erhan@umich.edu
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