Section: Contracts and Grants with Industry

Contract with Natixis: portfolio optimization in incomplete markets

Participants : Nicolas Champagnat, Stefania Maroso, Denis Talay, Etienne Tanré.

This work concerns various aspects of portfolio management in incomplete markets. It is developed in four directions: calibration and estimation of historical probabilities, dynamical portfolio optimization and numerical validation for optimal control. The hedging problem under Gamma constraints and the discrete hedging problem with minimal delay between transactions are also studied in the case of barrier options (see Sections  6.2.5 and  6.2.6 ).