NMAK20000U Changed: Polynomial Utility Optimization
MSc Programme in Actuarial Mathematics
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.
At the end of the course the student is expected to have:
- Knowledge about optimization of investment strategies with respect to a given utility function.
- 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.
- 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.
Academic qualifications equivalent to a BSc degree in Actuarial Mathematics is recommended.
- Theory exercises
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes.Oral exam without preparation.
- Exam registration requirements
To participate in the exam, the mandatory assignment must be passed.
- All aids allowed
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal censor.
Same as the ordinary exam. If the homework set is not approved before the ordinary exam, the non-approved set must be approved no later than three weeks before the beginning of the re-exam week.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.