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Math Colloquium
Scott Robertson
Mathematical Sciences, Carnegie Mellon University
Title: Robust Maximization of Asymptotic Growth

Abstract: We consider the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential operator which depends on the covariance structure of the underlying process used for investing. The robust growth-optimal strategy can also be seen as a limit, as the terminal date goes to infinity, of optimal arbitrages in the terminology of Fernholz and Karatzas.

Date: Thursday, February 17, 2011
Time: 4:30 pm
Location: Wean Hall 8220
Submitted by:  Shreve