Mathematical Finance Seminar

April 17, 2003 , 5:30 PM to 7:00 PM

Sanford Grossman, Quantitative Financial Strategies, Inc.

Optimization Problems in Quantitative Hedge Fund Management

I will describe how stochastic control theory is used in quantititative hedge fund management. Practical as well as theoretical open issues will be discussed. The presentation will be based on the articles

Sanford Grossman and Zhongquan Zhou (1993) ``Optimal Investment Strategies for Controlling Drawdowns", Mathematical Finance 3 (3) p. 241,276

Jaksa Cvitanic and Ioannis Karatzas, "On portfolio optimization under drawdown constraints", manuscript, March 16, 1994