Accuracy of Approximation for Portfolio Optimization under Multiscale Stochastic Environment

Explore a virtual talk from the Society for Industrial and Applied Mathematics' Sixth Activity Group on Financial Mathematics and Engineering. Delve into Jean-Pierre Fouque's presentation on the accuracy of approximations for portfolio optimization in multiscale stochastic environments. Learn about the challenges of rigorous accuracy results for non-linearizable cases, and discover new approaches for constructing sub- and super-solutions to fully nonlinear problems. Examine both regular and singular perturbation cases, including power utilities with correlated factors and general utility functions with fast-varying factors. Gain insights into the latest research on portfolio optimization strategies and value function approximations in complex stochastic settings.

Intro
Welcome
Portfolio Optimization
Admissibility
Problem
Constant coefficient
Distortion transformation
Regular perturbation
Proof of approximation
Strategy
Step Solution
Conclusion
Subtlity
General Utility
Value Function
Sub and Super
Final thoughts
Questions