Portfolio optimization in jump models with nonlinear wealth dynamics.

SPEAKER: Rafael Serrano

Universidad del Rosario

ABSTRACT

We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consider a market model with jumps driven by (multivariate) marked point processes and so-called non-linear wealth dynamics. This allows to take account of relaxed assumptions such as differential borrowing and lending interest rates and/or short positions with cash collateral and negative rebate rates. We give sufficient conditions for existence of optimal policies for agents with logarithmic and CRRA power utility. We find closed-form solutions for the optimal value function in the case of pure-jump models with jump-size distributions modulated by a two-state Markov chain.

DATE:  Wednesday, August 26 th, 2015
TIME:  6:00 pm

CLASSROOM: A601

 

                                      

 

Computational Methods in Social Sciences

SPEAKER: Camilo Argoty

Universidad Sergio Arboleda

ABSTRACT

Machine  learning algorithms  are implemented in order to analyze information  systems  with applications in social sciences.  The most appropriate algorithms  to deal with imperfect information problems, are those based on approximate reasoning and assisted learning.

DATE: Wednesday, August 19 th, 2015
TIME: 6:00 pm 
CLASSROOM:  A601