[FAM-news] Goll: Portfolio optimization with an insurance constraint, Sept 20, 2000

Andreas Schamanek Andreas.Schamanek@univie.ac.at
Wed, 13 Sep 2000 11:35:34 +0200 (MEST)


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.