Workgroup Financial Mathematics

Breadcrumb Navigation


Recent Advances in Portfolio Optimization

Oberseminar Finanz- und Versicherungsmathematik

Recent Advances in Portfolio Optimization


A proper investment of capital is one of the most important decisions financial companies make. There are many ingredients contributing to an ongoing escalation of complexity for investors: an increase in stochastic (latent) factors driving market prices, the subsequent boost in uncertainty, a strengthening of international and local regulations, and the expansion of customized investment products, just to mention a few.

This presentation describes some of these challenges using a combination of mathematical and financial concepts, including but not limited to: expected utility theory, continuous-time processes, optimal control, robust
analysis and constrained portfolio optimization. Closed-form solutions to some of these problems are presented with an
emphasis on their financial implications and benefits on a comparison to existing, suboptimal practices. In this context, I highlight some open problems and promising new approaches.