Speaker : Prof. Hiroaki Hata (Shizuoka University, Japan)
Title : Risk-sensitive portfolio optimization problem for a large trader with inside information
Time : 2017-09-04 (Mon) 15:00 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: We consider a financial model with a large trader and insider characteristics. This trader has some influence on the dynamics of prices. Moreover, the information of the insider is the final price plus a blurring noise that disappears as the final time approaches. Under such a setting, we try to obtain the explicit solution of a risk-sensitive portfolio optimization problem with finite time horizon.