Portfolio Optimization: The Quest for Useful Mathematics
Speaker:
Stanley Pliska, University of Illinois - Chicago
Date and Time:
Wednesday, February 24, 2010 - 9:30am to 12:15pm
Abstract:
3. Portfolio Optimization: The Quest for Useful Mathematics
a. Discrete time and Markowitz
b. Continuous time and dynamic programming
c. Continuous time and the risk neutral approach
d. Practical considerations and empirical results
e. New developments
