Analysis and PDE Seminar Series
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
Salisbury Labs 105