Time: Tue, September 09, 2008, 15:00-15:50
Speaker: Thaleia Zariphopoulou
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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