Mathematical Sciences- Analysis and PDE Seminar Series- "Cost efficiency in incomplete markets" by Stephan Sturm (WPI) - Salisbury Labs 105

Tuesday, October 31, 2017
12:00 pm to 1:00 pm
Floor/Room #: 
105

 

Analysis and PDE Seminar Series

Stephan Sturm
WPI

Cost efficiency in incomplete markets

ABSTRACT:  We establish a cost efficiency principle that allows to characterize the optimizer of general portfolio optimization problems in distributional terms: The price of a cost-minimizing strategy is identified as the minimal superhedging price of random variables dominated in convex order. This result relies on a minimax theorem on the cone of nonnegative random variables and lends itself to an interpretation in terms of a randomization of superhedging strategies. This is joint work with Carole Bernard.

Tuesday, October 31, 2017

12:00PM-1:00PM

Salisbury Labs 105