PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Anna Mazzucato, Victor Nistor, Manfred Denker.

Title:Optimal investment with high-watermark performance fee
Seminar:Probability and Financial Mathematics Seminar
Speaker:Mihai Sirbu, University of Texas, Austin, Mathematics, ***NOTE CHANGE OF ROOM***: This seminar will be held in **122 BUSINESS BUILDING**
Abstract:
We consider the problem of optimal investment and consumption when the investment opportunity is represented by a hedge-fund charging proportional fees on profit. The value of the fund evolves as a geometric Brownian motion and the performance of the investment and consumption strategy is measured using discounted power utility from consumption on infinite horizon. The resulting stochastic control problem is solved using dynamic programming arguments. We show by analytical methods that the associated Hamilton-Jacobi-Bellman equation has a smooth solution, and then obtain the existence and representation of the optimal control in feedback form using verification arguments. Joint work with Karel Janecek.

Room Reservation Information

Room Number:MB106
Date:01 / 28 / 2013
Time:03:30pm - 05:00pm