Robust Portfolio Selection

Mitja Stadje (Tilburg University)
Thursday, December 15, 2011 - 5:15pm
Rudower Chaussee 25, Room 1.115

We study problems in robust in robust portfolio choice and indifference evaluation with constraints on the trading strategies. Using dynamic programming priniciples we characterize the optimal solution in terms of certain backward stochastic differential equations which admit convex driver functions. We prove new existence, uniqueness, and comparison results for the associated BSDEs and also provide some numerical examples using MC simulations. The talk is based on joint work with Roger Leaeven.