Workshop
Survey Lecture: On Portfolio Optimization and Hedging under incomplete Information
- Wolfgang J. Runggaldier (Università degli Studi di Padova, Padova, Italy)
Abstract
We plan to describe concepts and solution methods for stochastic control under incomplete information as applied to portfolio optimization and hedging. The concepts and methods are first illustrated in a discrete time setting and then carried over to continuous time thereby pointing at similarities and differences. Time permitting, we shall also consider an intermediate setting, namely a pure jump market model.
