Title: Optimization problems in finance under full and partial information.
Abstract: For financial market models in discrete and continuous time we recall some basic optimization problems (portfolio optimization, optimization in Insurance, hedging and benchmark tracking) and discuss the two main solution methods, namely Dynamic Programming and the "martingale method". We then discuss market models under partial information and show how optimization problems in this setup can be reformulated as optimization problems under full information. Time permitting we also discuss computational aspects (approximations) and/or models with random discrete time points.
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