|
Friday, February 20, 2009 |
|
|
|
|
Portfolio Optimization |
|
|
This talk will begin with an overview of the subject (for those who may not be too familiar with it). Then I will discuss several areas of my research. (1) A closed form solution for a problem of bounded uncorrelated assets. (2) Portfolio optimization with transaction costs (3) Kinks on the efficient frontier. (4) A bilinear utility function. |