Inter-temporal Mutual Fund Management


In this talk, I shall introduce a way to completely resolve the general intertemporal mutual fund (open-end) management problem which has been long missing in the field. Even though the primal HJB equation drastically... [ view full abstract ]


  1. Phillip Yam (The Chinese University of Hong Kong)
  2. Alain Bensoussan (UT Dallas and CityU HK)
  3. Yiqun Li (CityU HK)

Topic Areas

Asset Allocation , Hedge Funds , Optimal Investment


TU-P-B1 » Optimal Control and Optimal Investment 1 (14:30 - Tuesday, 17th July, Beckett 1 )

Presentation Files

The presenter has not uploaded any presentation files.