2009 Probability Seminar - 12
- Date: 04/29/2009
Lecturer(s):
Nikolai Dokuchaev (Trent University)
Location:
University of British Columbia
Topic:
Myopic strategies and impact of forecast errors
Description:
We introduce and discuss some new stochastic models of optimal
portfolio selection with reduced impact of forecast errors. In
particular, we found some new examples of optimal myopic strategies,
including some discrete time models with serial correlations. In
addition, we found some new cases when the strategies that don't leave
the efficient frontier even if there is an error in the forecast. It
may happen for non-myopic strategies if the required information about
the future is limited.
Schedule:
3:00pm-4:00pm, WMAX 216
Sponsor:
