MF4: Optimal Investment and Incomplete Markets.

Lecturer: Professor Mihail Zervos (LSE)

Term: Spring 2009
Time: 18.00-21.00 Mondays
First meeting: TBA
Place: Room Z232, St Philip's Building LSE

Merton's optimal investment problem. Utility maximisation by duality methods. Incomplete markets and indifference pricing.  Techniques: dynamic programming, convex duality, viscosity solutions.