Friday, February 20, 2009 — 3:30 PM to 4:30 PM EST

Portfolio Optimization

Speaker: Michael Best
Affiliation: University of Waterloo
Room: Mathematics & Computer Building (MC) 5158

Abstract:

This talk will begin with an overview of the subject (for those who may not be too familiar with it). Then I will discuss several areas of my research.

  1. A closed form solution for a problem of bounded uncorrelated assets.
  2. Portfolio optimization with transaction costs. 
  3. Kinks on the efficient frontier.
  4. A bilinear utility function.
Location 
MC - Mathematics & Computer Building
5158
200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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