Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, January 03, 2018
Location:  1096 East Hall (3:00 PM to 4:00 PM)

Title:  Mean-Variance Criterion over a Random Horizon

Abstract:   We investigate time-consistent equilibrium feedback strategies for a dynamic mean-variance problem of investing in a risky financial market over a random time horizon, under both discrete-time and continuous-time frameworks. We explicitly obtain equilibrium feedback strategies in some cases, and we find that the equilibrium feedback strategies over a geometrically or exponentially distributed random horizon might be non-unique.

Joint work with David Landriault, Bin Li, and Danping Li of University of Waterloo.

Files: 4756_MV-random-horizon-20171023.pdf

Speaker:  Jenny Young
Institution:  UM

Event Organizer:     


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