XVII Workshop on Quantitative Finance -- Session on PORTFOLIO SELECTION (Sala Stemmi)
speaker: Stefano Herzel
speaker: Marco Nicolosi
timetable:
Thu 28 Jan, 11:00 - 13:00, Sala Stemmi
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communication: PORTFOLIO SELECTION: Optimal Asset Allocation In Money Management Under Mean-Reverting Returns
speaker: Flavio Angelinispeaker: Stefano Herzel
speaker: Marco Nicolosi
abstract: We find the optimal strategy for a performance related compensation in the presence of mean reverting returns. Our solution is determined by solving a system of Riccati equations and is based on a Laplace transform approach. We put together, and extend, the results by Basak et al. (2007), who solved our same problem under constant returns and by Watcher (2002), who determined the optimal portfolio choice for an investor with utility over consumption under meanreverting returns.
timetable:
Thu 28 Jan, 11:00 - 13:00, Sala Stemmi
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