- Time: 10:30-11:30am, May 15th, 2019
- Venue: MA318
- Speaker: Sheng-Jhih Wu, Suzhou University
In this talk, we will discuss two Merton-type portfolio optimization problems. In the setting of incomplete market, we consider a multiscale stochastic factor model where the economic factors are driven by diffusion processes with several time scales. Under the framework of this model, we derive second-order asymptotics for optimal investment strategy and establish an accuracy analysis. In an N-player game setting, we analyze optimal investment policy under relative performance criteria when the dynamics of the underlying asset has memory.