At the end of the course the student is expected to have:

Knowledge:

• Knowledge about optimization of investment strategies with respect to a given utility function.

Skills:

• Skills to formulate practical investment problems in a theoretical framework.
• Skills to present key aspects of the topics covered in the course, and discuss the discrepancies between real-world applications and theoretical models.

Competences in:

• Structuring optimization problems into control processes and objective functions.
• Using polynomial utility functions to approximate the optimal control of a given non-polynomial utility function.
• Understanding how divergence of polynomials affects the optimal control, and how undesired properties of polynomial utility functions can be deminished.
• Having an overview over what types of problems lead to what type of solutions.
• Being able to derive and interpret the life-cycle nature of the optimal control processes.