[Amath-seminars] Thursday seminar, 4-5pm , Room 208 Lewis Hall
Loyce M. Adams
lma3 at uw.edu
Tue Jan 16 12:39:33 PST 2018
This Thursday's seminar will be given by Prof. Tim Leung's visitor
Professor Hyungbin Park from 4 to 5 pm in the Fred Wan Conference Room
208, Lewis Hall.
His title and abstract are below.
See you then!
Title: A sensitivity analysis of the long-term expected utility
of optimal portfolios
Speaker: Professor Hyungbin Park
This talk discusses the sensitivity of the long-term expected utility
of optimal portfolios. Under an incomplete market given by a factor
model, we consider the utility maximization problem with long-time
horizon. The main purpose is to find the long-term sensitivity,
that is, the extent to how much the optimal expected utility is
affected in the long run for small changes of the underlying factor
model. the tlong-term behavior of the optimal expected utility can
be characterized by a solution par of an ergodic HJB equation, and
we will conclude that this solution pair determines the long-term
sensitivity. As examples, explicit results for several market models
such as the Kim-Omberg model for stochastic excess returns and the
Heston stochastic volatility model are presented. This is joint
work with Stephan Sturm.
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