Mathematical Sciences - Colloquium - Hussein Nasralah (WPI)

Friday, February 15, 2019
11:00 am to 11:50 am


Floor/Room #: 


Speaker: Hussein Nasralah (WPI)

TITLE: Portfolio optimization for small time horizons

ABSTRACT: The problem of portfolio optimization is widely studied in mathematical finance and concerns finding an optimal trading strategy for a given investor on a specified time horizon. We study this problem in an incomplete financial market in which the stock price has stochastic volatility. Under mild assumptions on the investor's utility function, we exhibit a closed-form formula for a close-to-optimal portfolio, with the approximate optimality valid for small time horizons. A heuristic scheme extending these small-time results to any finite horizon will then be discussed.