Accuracy of Approximation for Portfolio Optimization under Multiscale Stochastic Environment

Explore a virtual talk from the Society for Industrial and Applied Mathematics' Sixth Activity Group on Financial Mathematics and Engineering. Delve into Jean-Pierre Fouque's presentation on the accuracy of approximations for portfolio optimization in multiscale stochastic environments. Learn about the challenges of rigorous accuracy results for non-linearizable cases, and discover new approaches for constructing sub- and super-solutions to fully nonlinear problems. Examine both regular and singular perturbation cases, including power utilities with correlated factors and general utility functions with fast-varying factors. Gain insights into the latest research on portfolio optimization strategies and value function approximations in complex stochastic settings.