Probability Seminar: Goran Peskir - The Optimal Mean-Variance Selling Problem with Finite Horizon
| Dates: | 5 March 2025 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Goran Peskir (The University of Manchester) will speak at the Probability seminar.
Title: The Optimal Mean-Variance Selling Problem with Finite Horizon
Abstract: Imagine an investor who owns a stock which he wishes to sell so as to maximise his return and minimise his risk upon selling. In line with the classic mean-variance analysis we identify the return with the expectation of the stock price and the risk with
the variance of the stock price. The quadratic nonlinearity of the variance then moves the resulting optimal stopping problem outside the scope of the standard/linear optimal stopping theory. Consequently the results and methods of the standard/linear optimal
stopping theory are no longer applicable in this new/nonlinear setting. The solution to the nonlinear problem when the horizon is infinite has been known for some time, however, the method of proof used to solve the nonlinear problem in that case is not applicable in the case when the horizon is finite. The purpose of the present talk is to develop a new method of proof which solves the nonlinear problem when the horizon is finite. is joint work with P. Johnson and J. L. Pedersen.
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Frank Adams 2
Alan Turing Building
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