Friday, February 20, 2009 3:30 pm
-
4:30 pm
EST (GMT -05:00)
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.
- 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.