- Vivi Padova
- Il Bo
Wednesday 9 March 2011 h. 14:30, room 2BC30
Claudio Fontana (Dip. Mat.)
"Mean-variance Optimization Problems in Financial Mathematics"
Quadratic optimization criteria are ubiquitous in applied mathematics. In particular, they have been successfully exploited in financial mathematics in the context of hedging and portfolio selection problems, beginning with the Nobel prize-winning work of Markowitz (1952). In this introductory talk, we will survey the main aspects of mean-variance optimization problems, both from a mathematical and a financial point of view. Furthermore, we shall present an abstract and unifying approach for the solution of mean-variance problems, together with the related issue of mean-variance indifference valuation.
Rif. int. C. Marastoni, T. Vargiolu