Title: Introduction to dual control method for solving utility maximization problems

Speaker: Harry Zheng教授帝国理工大学

Date: Mar 26, 2019, Thursday, 6:30pm-9:00pm

Venue:览秀楼105

Abstract: Stochastic control method is often used to solve dynamic portfolio optimization problems. By using the dynamic programming principle, one can obtain a nonlinear partial differential equation, called the HJB equation, for the value function. However, apart from power utility, it is difficult to show there is a classical solution to the HJB equation, let alone a closed-form solution. In this talk we will explain how to use the dual control method to solve the HJB equation and find the closed-form solution for general utility functions in the Black-Scholes market.