MCFAM Seminar Series: “A mathematical analysis of optimal portfolio on finite and small-time horizons"
Please join us for our next seminar either in person or virtually! This seminar will feature Indranil SenGupta from North Dakota State University who will discuss a mathematical analysis of optimal portfolio on finite and small-time horizons.
Note: Refreshments will be served to those who attend in person in Vincent Hall.
Indranil SenGupta
Professor and Graduate Program Director
Department of Mathematics
North Dakota State University
About the lecture
In this presentation, SenGupta and his colleagues consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change from its current value. The researchers consider an incomplete stochastic volatility market model that is driven by both a Brownian motion and a jump process. They show a closed-form formula for an approximation to the optimal portfolio in a small-time horizon. The researchers also prove the accuracy of the approximation formulas. Finally, they provide a procedure for generating a close-to-optimal portfolio for a finite time horizon.
About the speaker
Indranil SenGupta received his Ph.D. in mathematics from Texas A&M University in 2010. He is currently a professor and the graduate program director in the Department of Mathematics at North Dakota State University. His research interests include mathematical finance, stochastic processes, and data science. He has published more than 50 papers/book chapters in various high-quality peer-review journals.
His works appeared in notable journals such as SIAM Journal on Financial Mathematics, Annals of Finance, Applied Mathematical Finance, etc. He has been invited to present his research in more than 70 national and international conferences/seminars/colloquiums. So far, he has been the research adviser for seven Ph.D. students. He is the winner of several teaching/service awards. He has also served in the editorial board of various journals.