Con preghiera di diffusione ai possibili interessati.
Annuncio di Seminario,
Martedì 21 Giugno, ore 12:30,
Sala di RappresentanzaDipartimento 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.