Ulrich Rieder, University of Ulm

Portfolio Optimization with Differential Information
Date
Oct 23, 2003, 4:30 pm5:30 pm
Location
E219 - Engineering Quadrangle

Details

Event Description

We consider simple models of financial markets with regular traders, with insiders possessing some extra information hidden in a random variable from the beginning of the trading interval and with investors having only partial information about the stock prices. All investors are interested in maximizing the expected utility from terminal wealth. The optimal values and portfolio strategies are derived and compared for various models of differential information.

Event Category
ORFE Department Colloquia