PSU Mark
Eberly College of Science Mathematics Department

Meeting Details

For more information about this meeting, contact Manfred Denker.

Title:Martingales and Portfolio Policies
Seminar:Seminar on Probability and its Application
Speaker:Heber Farnsworth, PSU
Abstract:
In recent years great strides have been made in understanding optimal portfolio strategies in continuous-time models. I will review these results and show under what conditions quasi-closed-form solutions may be obtained. Fortunately we can obtain solutions in many cases for which much recent empirical work on asset price dynamics has already been done. However these price dynamics can be shown to be inconsistent with observed portfolio policies.

Room Reservation Information

Room Number:MB106
Date:09 / 03 / 2010
Time:02:30pm - 03:25pm