Presentation: A Universal Portfolio Choice Model in Continuous Time
Workshop: Kick-off-Workshop
Time: Wed, September 10, 2008, 12:10-13:00
Speaker: Xunyu Zhou
Abstract
A new portfolio choice model in continuous time is formulated and solved, which covers many existing and new models including expected utility maximisation, mean-variance, probability maximisation, Yarri's model, Lopes' SP/A model, and behavioural model under prospect theory.
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
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