- Date: 20 Sep(Thu)
- Place: W.W. 7th-floor
- Time: 15:00 — 17:30
15:00 — 16:00
- Speaker: Jiao Ying
- Title: Portfolio optimization with insider’s initial information
- Abstract:
We consider an insider maximizing her expected utility with portfolio terminal wealth with information flow on the default of a counterparty.
We prove that if there is no limit for short-selling strategy, then the insider can achieve unbounded utility expectation.
So we propose suitable strategy constraint under which we study the optimization problem and compare the results with the case for a standard investor. This is a joint work with C. Hillairet.
We prove that if there is no limit for short-selling strategy, then the insider can achieve unbounded utility expectation.
So we propose suitable strategy constraint under which we study the optimization problem and compare the results with the case for a standard investor. This is a joint work with C. Hillairet.
16:30 — 17:30
- Speaker: Vlad Bally
- Title: Integration by parts formulas and regularity of probability laws( continuation )
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