Speaker：Zongxia Liang（Qsinghua University）

Time：2022-04-22, 14:30

Location：Tencent Meeting ID： 116569759（No Password）

Abstract:

In this talk, I'll present some recent joint works with Ming Ma on explicit solving nondominated robust utility maximization problem with general Levy processes under minimal assumptions, which is also a common conjecture of Merton portfolio optimization problems. I'll focus on stochastic Sion’s minimax theorem and equivalence between an infinite dimensional functional deterministic optimization and a stochastic optimization to semi-explicitly solve this maximization problem.