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Math Colloquium
Ibrahim Ekren
Univ. of Michigan
Title: Multidimensional utility maximization with small nonlinear price impact

Abstract: In this talk we discuss the multidimensional utility maximisation problem with small nonlinear price impact. Using homogenisation techniques, we obtain a first order expansion of the utility function for small nonlinear price impact. We give a PDE characterisation of the utility loss for small nonlinear price impact and exhibit a family of asymptotically optimal strategies for the problem. This is a joint work in progress with Erhan Bayraktar and Thomas Caye.

Date: Monday, January 22, 2018
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Bohman
Note: Refreshments at 4:00, WeH 6220.