26 Settembre, 2008 14:30

Sezione di Probabilità e Statistica Matematica

Optimal Portfolio, Partial Information and Malliavin Calculus

Prof. Giulia Di Nunno, Centro di Matematica Applicata, Università di Oslo

Aula Seminari 3° piano, Dipartimento di Matematica

In a market driven by Levy processes, we consider an optimal portfolio problem for a trader who has access to some information in general smaller than the one generated by the market events. In this sense we refer to this trader as having partial information.
For this generally incomplete market and within a non-Markovian setting, we give a characterization for a portfolio maximizing the expected utility of the final wealth.
Techniques of Malliavin calculus are used for the analysis.
(This presentation is based on a joint work with Bernt Øksendal).