Ralf Korn, 26.11.2009
WS 2009/2010
Donnerstag, 26. November, 15:00 - 17:00, Fakultätssitzungszimmer
Ralf Korn (University of Kaiserslautern)
Personal information:
http://www.mathematik.uni-kl.de/~korn/
Topic: Worst-Case Portfolio Optimization: Concept and Recent Results
Abstract: Worst-case control is a concept that is based on two key assumptions,
the distinction between normal times and catastrophe scenarios and the
choice of a min-max functional as the utility criterion. Compared to
related portfolio optimization approaches, the catastrophe scenarios are
not given by a probabilistic model, they are only described via bounds
for the number of their occurrences and their heights.
In the talk the worst-case control concept will be presented via
applications to portfolio optimization in finance and insurance
mathematics. It will be shown that it can be derived via different
approaches, an indifference approach, a generalized HJB-equations
approach and via a martingale approach. The impact of the use of a
worst-case approach will be demonstrated via various explicit examples.
the distinction between normal times and catastrophe scenarios and the
choice of a min-max functional as the utility criterion. Compared to
related portfolio optimization approaches, the catastrophe scenarios are
not given by a probabilistic model, they are only described via bounds
for the number of their occurrences and their heights.
In the talk the worst-case control concept will be presented via
applications to portfolio optimization in finance and insurance
mathematics. It will be shown that it can be derived via different
approaches, an indifference approach, a generalized HJB-equations
approach and via a martingale approach. The impact of the use of a
worst-case approach will be demonstrated via various explicit examples.
