We are proudly announcing the following talk:
Thursday, Sept 20, 2000
Seminar Room of E107 at 14:00
(Freihaus, 6th floor, green area)
Thomas Goll:
Portfolio optimization with an insurance constraint
Abstract
A paper of Peter Lakner is presented. It studies the problem of
maximizing the expected utility from terminal wealth subject to an
insurance constraint that the wealth at the terminal time T can not
fall below a given level K. Using Malliavin calculus an explicit
formula for the optimal portfolio strategy is derived for a
standard complete market model.
We are proudly announcing the following talk:
Thursday, Sept 7, 2000
FAM-ily's Seminar Room at 16:30
(Freihaus, 7th floor)
Thomas Goll:
Optimal portfolios for logarithmic utility
Abstract
We consider the problem of maximizing the expected logarithmic
utility from consumption or terminal wealth in a general
semimartingale market model. The solution is given explicitly in
terms of the semimartingale characteristics of the securities price
process.