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.