Seminar series
Date
Thu, 08 May 2008
13:00
13:00
Location
DH 1st floor SR
Speaker
Hanqing Jin
Organisation
Oxford
In a financial market, the appreciate rates are very difficult to estimate precisely, and in general only some confidence interval will be estimated. This paper is devoted to the portfolio selection with the appreciation rates being in a certain closed convex set rather than some precise point. We study the problem in both expected utility framework and mean-variance framework, and robust solutions are given explicitly in both frameworks.