ACES Presentation
Scott Robertson
Boston University - Mathematics & Statistics
Internship performed at Bocconi School, Institute for Quantitative Methods - Milan, Italy
Friday - October 26, 2007
12:00 noon
Physics Research Building - Room 595

"Utility Maximization in the Long Term Limit - A Large
Deviations Approach"

In finance, one often wishes to invest in portfolio's of risky assets where the assets display a dependence upon one or more latent factors. In this setup, our goal is to construct an optimal investment portfolio based upon an investor's desire to maximize his/her utility from the terminal wealth as the investment horizon becomes large. This talk will highlight both the role of Large Deviations and the computational aspects in solving this problem. At the end of the talk I will speak about my time in Milan, Italy and how it advanced this project.