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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: Portfolio choice under space-time monotone performance criteria

Workshop: Kick-off-Workshop

Time: Tue, September 09, 2008, 15:00-15:50

Speaker: Thaleia Zariphopoulou

Abstract

We consider an investment problem with performance criteria that combine the investor's preferences with market related inputs. We explicitly construct the optimal investment and optimal wealth processes and analyze their distributional properties. We also study the inverse problem of inferring the investor's preferences from the desired wealth distribution.

Presentation slides (pdf, 174 KB)

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