|Affiliation:||University of Waterloo|
|Room:||Mathematics & Computer Building (MC) 5158|
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.
- A closed form solution for a problem of bounded uncorrelated assets.
- Portfolio optimization with transaction costs.
- Kinks on the efficient frontier.
- A bilinear utility function.
200 University Avenue West
Waterloo, ON N2L 3G1