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Solving optimal investment problems with Cox-Ingersoll-Ross's interest rate
Dr. Hiroaki Hata ( Academia Sinica )

2008 - 05 - 23 (Fri.)
09:30 - 10:20
308, Mathematics Research Center Building (ori. New Math. Bldg.)

1. Risk-sensitive portfolio optimization problem with finite time horizon,
2. Risk-sensitive portfolio optimization problem with infinite time horizon,
3. An "up-side chance" maximization problem of the large deviation probability with infinite time horizon. This is a joint work with Prof. Jun Sekine (Kyoto University).

Time:April 11 - July 25, 2008
Room:
Organizer:Narn-Rueih Shieh ( Department of Mathematics, National Taiwan University )

Available Talk List

2008-04-11 (Fri.)		An introduction to stochastic calculus
2008-04-18 (Fri.)		An introduction to financial models and risk management
2008-05-09 (Fri.)		Martingales, Brownian Motions, and Levy Processes.
2008-05-16 (Fri.)		Applications of Martingale Theory to Finance
2008-05-23 (Fri.)		Solving optimal investment problems with Cox-Ingersoll-Ross's interest rate