Speaker :
| Dr. Yu-Jui Huang (University of Michigan) |
Title :
|
Robust Maximization of Asymptotic Growth under Covariance Uncertainty |
Time :
| 2013-06-27 (Thu) 11:00 - |
Place : |
Seminar Room 722, Institute of Mathematics (NTU Campus) |
Abstract: |
This paper resolves a question proposed in Kardaras and Robertson (2012): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying assets is unavailable. Among an appropriate class of admissible covariance structures, we characterize a robust trading strategy in terms of a generalized version of the principal eigenvalue of a fully nonlinear elliptic operator and its associated eigenfunction. |