欢迎光临!
您现在所在的位置:首页 >> 通知公告 & 学术信息
学术信息
SEMINARS
Exponential utility maximization and indifference valuation with unbounded payoffs
时间  Datetime
2018-04-17 15:30 — 17:00 
地点  Venue
Middle Lecture Room
报告人  Speaker
梁歌春
单位  Affiliation
Warwick University, UK
邀请人  Host
林一青
报告摘要  Abstract

We solve an exponential utility maximization problem with unbounded payoffs and portfolio constraints, via the theory of quadratic backward stochastic differential equations with unbounded terminal data. This  generalizes the previous work of Hu et al. (2005) [ Ann. Appl. Probab. 15, 1691--1712] from the bounded to an unbounded framework. Furthermore, we study utility indifference valuation of financial derivatives with unbounded payoffs, and derive a novel convex dual representation of the prices. In particular, we obtain new asymptotic behavior as the risk aversion parameter tends to either zero or infinity. This talk is based on the joint work with Ying Hu and Shanjian Tang.