[Forum SIS] Annuncio Seminario - Bernardo D'Auria - 21 Gennaio 2016

[Statlab- UNISA]

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Annuncio Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES <http://www.dises.unisa.it/index> 

Università degli Studi di Salerno

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Mercoledì 21 Gennaio 2016, ore 13.00 Sala Master DiSES (Seminario STATLAB)

Bernardo D'Auria 

Madrid University Carlos III, Statistics Department, Avda. de la Universidad 30, 28911 Leganes (Madrid), Spain

E-mail address: bernardo.dauria a uc3m.es 

 

 <http://www.dises.unisa.it/news/index/idStructure/3434/id/18179> Optimal portfolio control with insider information 

 

Abstract

We show how to solve the optimal portfolio problem with logarithmic utility assuming that some future information about the risky asset process is known. Comparing this result with the classical case where the risky investment is modeled by a Brownian

motion, we speak about the concept of value of information in Finance. The opposite case, where only partial information about the risky asset process is known, is also briefly described.

Based on a joint work with C. Escudero and B. Øksendal.

 

Tutti gli interessati sono cordialmente invitati a partecipare.


Laboratorio di Ricerca e Formazione avanzata in Statistica (STATLAB) <http://www.dises.unisa.it/centri_laboratori/statlab/index> 

Università degli Studi di Salerno 

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132

 
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