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Seminarium 10.05.2022
dodano: 06/05/2022
przez: Dariusz Zawisza
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- Referent : Damian Jelito
- Tytuł referatu : Robust maximisation of asymptotic growth
- Termin: Tuesday 10.05.2022, 12:15, room 1093
- Abstract: We discuss the problem of the robust long-run logarithmic rate of return maximisation. In this context, the model uncertainty is associated with an unknown drift term of the underlying process. The solution of the problem is associated with the principal eigenvalue and eigenfunction of a suitable elliptic differential operator. The talk is based on the paper C. Kardaras, S. Robertson “Robust maximization of asymptotic growth”, Ann. Appl. Probab. 2012.
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Seminarium 26.04.2022
dodano: 22/04/2022
przez: Dariusz Zawisza
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- Referent : Marcin Pitera
- Tytuł referatu : Discrete-Time Risk Sensitive Portfolio Optimization with Proportional Transaction Costs
- Termin: Tuesday 26.04.2022, 12:15, room 1093
- Abstract: In this talk we discuss a discrete-time risk sensitive portfolio optimisation over a long time horizon with proportional transaction costs. After providing a gentle introduction into risk-sensitive portfolio optimisation, we show that within the log-return i.i.d. framework the solution to a suitable Bellman equation exists under minimal assumptions and can be used to characterise the optimal strategies for both risk-averse and risk-seeking cases. Moreover, using numerical examples, we show how a Bellman equation analysis can be used to construct or refine optimal trading strategies in the presence of transaction costs.
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Seminarium 12.04.2022
dodano: 08/04/2022
przez: Dariusz Zawisza
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- Referent : Dariusz Zawisza
- Tytuł referatu : Różne koncepcje pomiaru ryzyka
- Termin: Wtorek 12.04.2022, 12:15, sala 1093
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