Grant: Discovery Grants Program - Individual
Université du Québec à Montréal
$15,000.00
Optimal portfolios in stochastic finance
FY 2009-10
Summary
Many complex dynamic systems ared modeled successfully by stochastic differential equations and this is particulary the case for stock markets. In a financial market, an investor might seek to establish a dynamic strategy allowing him to optimize a certain function of the expected terminal wealth. With this in mind, he must base his decisions on a continuously updated flow of information without being able to exactly predict future market fluctuations.
We propose to continue our previous work on these issues by developing strategies with realistic constraints, either imposed by the investor or enforced by the market, as well as investigating the probability of attaining predetermined financial goals.
Program
Discovery Grants Program - Individual
Recipient
Location
Quebec, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
288335-2009
Name nom
Watier, François
Department département
Mathématiques
Organization id
57
Institution établissement
Université du Québec à Montréal
Province en
Québec
Province fr
Québec
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2009
Competition year année de concours
2009
Award amount
15000
Program id
RGPIN
Program nane en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
14
Committee name en
Statistical Sciences
Committee name fr
Statistique
Area of application code
1205
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Mathematical sciences
Area of application fr
Sciences mathématiques
Research subject code
3008
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Applied probability
Research subject fr
Probabilité appliquée
Partie
1
Nb partie
5
Application title
Optimal portfolios in stochastic finance
Keyword
NA
Application summary
Many complex dynamic systems ared modeled successfully by stochastic differential equations and this is particulary the case for stock markets. In a financial market, an investor might seek to establish a dynamic strategy allowing him to optimize a certain function of the expected terminal wealth. With this in mind, he must base his decisions on a continuously updated flow of information without being able to exactly predict future market fluctuations.
We propose to continue our previous work on these issues by developing strategies with realistic constraints, either imposed by the investor or enforced by the market, as well as investigating the probability of attaining predetermined financial goals.