Seminar series
Date
Mon, 16 Jan 2023
16:30
16:30
Location
L5
Speaker
Stefano Marchesani
Organisation
Rome La Sapienza
I will present a model for an optimal portfolio allocation and consumption problem for a portfolio composed of a risk-free bond and two illiquid assets. Two forms of illiquidity are presented, both illiquidities based on Lévy processes. The goal of the investor is to maximise a certain utility function, and the optimal utility is found as a solution of a nonlinear PIDE of the Hamilton-Jacobi-Bellman kind.