Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, January 03, 2018
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Multidimensional utility maximization with small nonlinear price impact

Abstract:   In this talk we discuss the multidimensional utility maximisation problem with small nonlinear price impact.
Using homogenization techniques, we obtain a first order expansion of the utility function for small nonlinear price impact.
We give a PDE characterization of the utility loss for small nonlinear price impact and exhibit a family of asymptotically optimal strategies for the problem.
This is a joint work with Erhan Bayraktar and Thomas Caye.


Speaker:  Ibrahim Ekren
Institution:  UM

Event Organizer:     


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