Báo cáo đã qua・Học kỳ 2, năm học 2010–2011
201103/23T4 Báo cáo

Risk sensitive portfolio optimization problem

Dr. Hiroaki HataAcademia Sinica 下午 13:30–14:30 Tòa nhà Hồng Kinh 107 室
In this talk I introduce risk sensitive portfolio optimization problem and optimization problems related to this. Moreover, in particular, using dynamic programming approach, we discuss risk sensitive portfolio optimization problem with linear Gaussian stochastic factor model.