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10/17/06 Colloquium
Professor H. Zheng
Department of Mathematics
Imperial College
London, UK
Department of Mathematics
Imperial College
London, UK
Efficient Frontier of Utility and Conditional VaR
Abstract: In this talk we discuss the portfolio optimization problem of maximizing the expected utility of terminal wealth and minimizing the conditional value-at-risk of utility loss. We first introduce some basic concepts in mathematical finance, then discuss a simple example which motivates the model formulation, and explain the essential ideas of proving the existence of optimal solutions using convex analysis, and finally show how to compute numerically the optimal value with the help of stochastic control theory. We will focus more on concepts and ideas and less on technical details in the talk.