Changed: Polynomial Utility Optimization
Course content
Selection of topics related to dynamic optimization with respect to investment of capital in a financial market. Polynomial utility functions and how they can be used to approximate non-polynomial utility functions are central topics.
MSc Programme in Actuarial Mathematics
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.
Lectures, 5 per week for 7 weeks. In addition to this, a total of 4 hours of exercise classes where the students can work on their mandatory assignment.
Continuous Time Finance (FinKont).
Academic qualifications equivalent to a BSc degree in Actuarial
Mathematics is recommended.
- ECTS
- 7,5 ECTS
- Type of assessment
-
Oral examination, 30 minutes.Oral exam without preparation.
- Aid
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal censor.
Criteria for exam assessment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Single subject courses (day)
- Category
- Hours
- Lectures
- 35
- Preparation
- 166
- Theory exercises
- 4
- Exam
- 1
- English
- 206
Kursusinformation
- Language
- English
- Course number
- NMAK20000U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 block
- Schedulegroup
-
B
- Capacity
- No restrictions.
- Studyboard
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinator
- Alexander Sevel Lollike (9-6a377578757572746e49766a7d7137747e376d74)
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