Expected exponential utility maximization problem with a nonlinear factor model and its policy improvement algorithm
Prof. Hiroaki HataHitotsubashi University 16:00 – 17:30 Gedung Hongjing M107
Abstract：
In this talk, we propose a policy improvement algorithm for an optimal investment problem to maximize an expected exponential utility of terminal wealth. We employ a general stochastic factor model where the returns and volatilities of assets are random and affected by some economic factors, modeled as diffusion processes. We establish an iteration procedure that converges to the value function and the optimal strategies.
20240321演講_ Prof. Hiroaki Hata (Hitotsubashi University)