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.