Multistage Portfolio Optimization with Transaction Costs and Parameter Uncertainty | Hanlon Financial Systems Center

Multistage Portfolio Optimization with Transaction Costs and Parameter Uncertainty

Multistage Portfolio Optimization with Transaction Costs and Parameter Uncertainty

seminar date: 
Thursday, October 22, 2015 - 5:30pm
seminar location: 
BC122
Lee Dickers, Rutgers University
Abstract: 

We discuss multistage portfolio optimization problems under an exponential utility maximization framework, which extends landmark work by Almgren & Chriss (2001) and Garleanu & Pedersen (2009) on trading with transaction costs.  Our framework naturally accommodates transaction costs, parameter uncertainty, and a variety of alpha-processes, along with other important features of realistic portfolio optimization problems.  Several specific examples will be worked-out in detail. 

 

Bio: 

Lee Dicker is an Assistant Professor in the Department of Statistics and Biostatistics at Rutgers University.  His research interests span high-dimensional statistics, random matrix theory, statistical decision theory, machine learning, and many modern statistical applications, such as finance, 'omics data from biomedical sciences, and diabetes technology.  Lee earned his PhD in Biostatistics from Harvard University in 2010.  He has published in top journals and conferences in statistics, machine learning, and application areas, and has been supported by multiple NSF grants, including a 2015 NSF CAREER Award.