CORDIS Project
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This project investigates portfolio choice problems in finance, focusing on dynamic strategies under varying conditions such as random environments and trading costs. It aims to develop new mathematical tools to better understand the implications of these factors on financial decision-making.
This project focuses on a class of portfolio choice problems arising in Mathematical Finance.
These problems share a common relevance for financial applications, and lead to novel mathematical questions, mainly in the area of Stochastic Processes.
Research is proposed on dynamic portfolio choice with: (i) Random Environments; (ii) Trading Frictions; and (iii) Incentive Fees.
Random environments encompass those asset pricing models in which interest rates, risk premia, and covariances may depend…
DUBLIN CITY UNIVERSITY
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