{"55088":{"#nid":"55088","#data":{"type":"event","title":"Hereditary Portfolio Optimization with Memory","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003ETITLE:\u003C\/strong\u003E Hereditary Portfolio Optimization with Memory\n\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003ESPEAKER:\u003C\/strong\u003E Dr. Mou-Hsiung (Harry) Chang\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003EABSTRACT:\u003C\/strong\u003E\u003C\/p\u003E\u003Cp\u003EIn this talk, we consider an infinite time horizon portfolio \noptimization problem in a market that consists of one savings account \nand one stock account whose unit price satisfies a nonlinear stochastic \nfunctional differential equation. Within the solvency region the \ninvestor is allowed to consume from the savings account and can make \ntransactions between the two assets subject to paying capital-gain taxes \nas well as a fixed plus proportional transaction cost. The main \nobjective is to seek an optimal consumption-investment strategy in order \nto maximize the expected utility from the total discounted consumption \nover the infinite time horizon. The portfolio optimization problem is \nformulated as a stochastic control problem that involves both the \nclassical and impulse controls. A quasi-variational HJB inequality for \nthe value function is derived and the verification theorem for the \noptimal investment consumption strategy is obtained. The value function \nis also shown to be the unique viscosity solution of the HJB inequality.\n\u003Cbr \/\u003E\n\u003Cbr \/\u003EBio: Dr. M. H. Chang is currently the manager of the Probability \u0026amp; \nStatistics Program and acting division chief of the Mathematical \nSciences Division at the U. S. Army Research Office (ARO). Prior to \njoining ARO, Dr. Chang had been a tenured professor in the Department of \nMathematical Sciences at the University of Alabama in Huntsville (UAH) \nfor twenty-eight years and had served as Chair of the Mathematical \nSciences Department for eight years. He received his B.S. in Applied \nMathematics from National Chung-Hsing University (in Taiwan) and his \nM.S. and Ph.D. in Mathematics from the University of Rhode Island.\n\u003C\/p\u003E\u003Cp\u003EDr. Chang publishes extensively in stochastic analysis, stochastic \ncontrol, mathematical finance, and quantum Markov processes. He has \npublished one research monograph \u201cStochastic Control of Hereditary \nSystems and Applications\u201d, Volume 59 of the Stochastic Modeling and \nApplied Probability Series, Springer, New York, January 2008, ISBN \n978-0-387-75805-3, more than 60 referred journal articles, and has made \nmore than 80 invited presentations at professional conferences and \nuniversities. He is currently an associate editor for \u201cJournal of \nApplied Mathematics and Stochastic Analysis\u201d and \u201cStochastic Analysis \nand Applications\u201d. He has also served as a referee for numerous \nmathematics and applied mathematics journals.\n\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"\u003Cp\u003EHereditary Portfolio Optimization with Memory\n\u003C\/p\u003E","format":"limited_html"}],"field_summary_sentence":[{"value":"Hereditary Portfolio Optimization with Memory"}],"uid":"27187","created_gmt":"2010-03-24 11:13:29","changed_gmt":"2016-10-08 01:51:09","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2010-03-30T12:00:00-04:00","event_time_end":"2010-03-30T13:00:00-04:00","event_time_end_last":"2010-03-30T13:00:00-04:00","gmt_time_start":"2010-03-30 16:00:00","gmt_time_end":"2010-03-30 17:00:00","gmt_time_end_last":"2010-03-30 17:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}