2013年度

Math-Fi seminar on 6 Mar.

2014.03.02 Sun up
  • Date : 6 Mar.  (Thu)
  • Place: W.W. 7th-floor, 4th lab. 
  • Time : 16:30 – 18:00
  • Speaker: Kazufumi Fujimoto (Osaka University)
  • Title: Expected utility maximization under incomplete information and with Cox-process observations
  • Abstract: We consider the maximization problem of expected terminal utility. The underlying market model is a regime-switching diffusion model in which the regime is determined by an unobservable factor process forming a finite-state Markov process. The main novelty is due to the fact that prices are observed and the portfolio is rebalanced only at random times corresponding to a Cox process in which intensity is further driven by the unobserved Markovian factor process. This leads to a more realistic modeling for several practical situations, as in markets with liquidity restrictions; on the other hand, it considerably complicates the problem to such a degree that traditional methodologies cannot be directly applied. Furthermore, we provide a numerical scheme for these problems to numerically compute the value functions.

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