Some non-concave dynamic optimization problems in finance
CMSA Room G10 CMSA, 20 Garden Street, Cambridge, MA, United StatesMember Seminar Speaker: Shuaijie Qian (Harvard CMSA) Title: Some non-concave dynamic optimization problems in finance Abstract: Non-concave dynamic optimization problems appear in many areas of finance and economics. Most of existing literature solves these problems using the concavification principle, and derives equivalent, concave optimization problems whose value functions are still concave. In this talk, I will present […]