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CATEGORIES:Colloquium/Seminar
DESCRIPTION:Ruimeng Hu\, Department of Statistics\, Columbia University\n\n
Optimal Portfolio under Fractional Stochastic Environments\n\nRough stochas
tic volatility models have attracted a lot of attention recently\, in parti
cular for the linear option pricing problem. In this paper\, starting with
power utilities\, we propose to use a martingale distortion representation
of the optimal value function for the nonlinear asset allocation problem in
a (non-Markovian) fractional stochastic environment (for all Hurst index H
\in (0\,1)). We rigorously establish a first-order approximation of the op
timal value\, where the return and volatility of the underlying asset are f
unctions of a stationary slowly varying fractional Ornstein-Uhlenbeck proce
ss. We prove that this approximation can be also generated by a fixed zerot
h order trading strategy providing an explicit strategy which is asymptotic
ally optimal in all admissible controls. Similar results are also obtained
under fast mean-reverting fractional stochastic environment. Furthermore\,
we extend the discussion to general utility functions\, and obtain the asym
ptotic optimality of this fixed strategy in a specific family of admissible
strategies.
DTEND:20181018T180000Z
DTSTAMP:20210125T163901Z
DTSTART:20181018T170000Z
GEO:40.006791;-105.262818
LOCATION:Engineering Center\, ECOT 226
SEQUENCE:0
SUMMARY:Stochastics Seminar - Ruimeng Hu
UID:tag:localist.com\,2008:EventInstance_4014636
URL:https://calendar.colorado.edu/event/stochastics_seminar_-_ruimeng_hu
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