Atelier des doctorants du Mardi 25/06/2019

Optimal investment and consumption

Mardi 25 juin 2019, 11:15 à 12:15

Salle des séminaires

Sergei Egorov

Sergei Egorov is the Ph.D student of Sergei Pergamentchikov

We consider the problem of constructing optimal investment and consumption strategies for financial markets, described by L\'evy processes with jumps that are widely used in financial mathematics. This is classical portfolio optimization problem. 
For this problem, we introduce portfolio model, and, for determined objective function, we have found the optimal strategy in the class of self-financing strategies.