Workshop
Portfolio diversification with Markovian prices
- Jerzy Zabczyk (Polish Academy of Sciences, Warsaw, Poland)
Abstract
It will be devoted to the problem of constructing impulsive modifications of the portfolios, introduced by Pliska and Suzuki. The problem is solved for models with general Markovian prices. More specific results are obtained in the case the prices satisfy equations with Levy noise. A file of the joint paper with J. Palczewski, "Portfolio diversification with Markovian prices", on which the talk is based, can be found on Palczewski's 
web page.
