[Turkmath:3437] Bilkent Analiz Semineri - Çağın Ararat - 27.11.2018

[Bilkent Mathematics]

Değerli liste üyeleri, 

Bilkent Matematik Bölümü Analiz Seminerleri kapsamında 27 Kasım'da Çağın
Ararat konuşmacı olacaktır. 


Çağın Ararat (Bilkent Üniversitesi) 

"Dynamic mean-variance problem and its time-inconsistency" 

Özet: Markowitz (1952) studied the trade-off between maximizing the expected
value and minimizing the variance of return in the context of portfolio
selection in a risky market. The static problem formulated by him has a
simple analytical solution and has become a standard textbook subject over
the years. On the other hand, the dynamic version of this problem in
discrete or continuous time suffers from time-inconsistency, namely, that an
optimal trading strategy calculated today may fail to stay optimal for the
similar problem solved tomorrow. This talk gives some exposition to the
various approaches for handling the time-inconsistency of the dynamic
mean-variance problem as well as some related time-consistent problems. At
the end, some alternative approaches and open questions are discussed.


Tarih: 27 Kasım 2018 Salı, 16:00-17:00
Bilkent Matematik Bölümü Seminer Odası SA - 141 

Konuşma öncesinde çay-kurabiye ikramı yapılacaktır. 

İlgilenen herkes davetlidir. 

Bilkent Üniversitesi Matematik Bölümü
https://twitter.com/Bilkent_math