Seminars and Colloquia Schedule

Monday, July 2, 2018 - 01:55 , Location: Skiles 005 , Isabelle Kemajou-Brown , Morgan State University , elisabeth.brown@morgan.edu , Organizer: Luca Dieci
We assume the stock is modeled by a Markov regime-switching diffusion process and that, the benchmark depends on the economic factor. Then, we solve a risk-sensitive benchmarked asset management problem of a firm. Our method consists of finding the portfolio strategy that minimizes the risk sensitivity of an investor in such environment, using the general maximum principle.After the above presentation, the speaker will discuss some of her ongoing research.