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.