Portfolio Optimization Problems for Models with Delays

Series
Applied and Computational Mathematics Seminar
Time
Monday, December 4, 2017 - 2:00pm for 1 hour (actually 50 minutes)
Location
Skiles 005
Speaker
Tao Pang – Department of Mathematics, North Carolina State University – http://www4.ncsu.edu/~tpang/
Organizer
Luca Dieci
In the real world, the historical performance of a stock may have impacts on its dynamics and this suggests us to consider models with delays. We consider a portfolio optimization problem of Merton’s type in which the risky asset is described by a stochastic delay model. We derive the Hamilton-Jacobi-Bellman (HJB) equation, which turns out to be a nonlinear degenerate partial differential equation of the elliptic type. Despite the challenge caused by the nonlinearity and the degeneration, we establish the existence result and the verification results.