Stochastic modeling and optimal portfolio construction III

Thaleia Zariphopoulou
University of Texas at Austin
Departments of Mathematics and IROM

Optimal portfolio construction is one of the most fundamental problems in financial mathematics. In this mini-course, I will discuss the foundations of investment theory together with modeling issues and various methods for the analysis of the associated stochastic optimization problems. Among others, I will present results on the classical expected utility and its robust extension as well as on the long-term (turnpike) properties of optimal portfolios. I will also present analogous results within the framework of the recently developed notion of forward investment performance. Finally, I will discuss connections between the academic research and the investment practice and, in particular, some of the challenges to reconcile normative and descriptive methodologies.

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