Con preghiera di diffusione ai possibili interessati.
Annuncio di Seminario,
Martedì 21 Giugno, ore 12:30,
Sala di Rappresentanza Dipartimento di Matematica (UniMi) Via C. Saldini 50 Milano
Professoressa Marina Santacroce, Dipartimento di Matematica, Politecnico di Torino
Title: From classical to general utilities maximization: control techniques versus other approaches.
Abstract: In this talk we discuss methods which give constructive characterizations of the optimal strategies for expected utility maximization problems in a continuous semimartingale setting. In particular, we focus on a method which seems to provide a valid alternative to dynamic programming and works for general utilities and, besides, displays a clear link with convex duality.