SeminarsSolving optimal investment problems with Cox-Ingersoll-Ross's interest rate
185
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1. Risk-sensitive portfolio optimization problem with finite time horizon, 2. Risk-sensitive portfolio optimization problem with infinite time horizon, 3. An "up-side chance" maximization problem of the large deviation probability with infinite time horizon. This is a joint work with Prof. Jun Sekine (Kyoto University).
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Hiroaki Hata
2008-05-23
09:30:00 - 10:20:00
308 , Mathematics Research Center Building (ori. New Math. Bldg.)
1. Risk-sensitive portfolio optimization problem with finite time horizon, 2. Risk-sensitive portfolio optimization problem with infinite time horizon, 3. An "up-side chance" maximization problem of the large deviation probability with infinite time horizon. This is a joint work with Prof. Jun Sekine (Kyoto University).