NO FREE LUNCH
SEMINAR
Seminari
di Finanza Quantitativa
ore 13.00
Scuola Normale
Superiore
Pisa
(Aula Bianchi)
Marko
Hans WEBER
Scuola
Normale Superiore di Pisa
Terrà un
seminario dal titolo:
“On
portfolio optimization in markets with frictions”
Abstract
The
classic portfolio optimization problem was solved by Robert Merton in 1969 in
his paper "Lifetime portfolio selection under uncertainty: the continuous time
case". In an economy formed by two assets, a risk-free bond and a stock, which
has standard Black-Scholes dynamics, he finds explicitly the optimal trading
strategy for an agent with constant relative risk aversion. The mainstream
literature assumes a frictionless market, but ignoring transaction costs and
liquidity may seriously affect the reliability of a financial model. The
objective of the talk is to give a review on the effects of introducing
proportional transaction costs. Indeed, the results by Merton are no longer
valid in this framework. We also want to approach the issue of liquidity, which
has been studied just marginally in the literature, and then compare the impact
that both kind of frictions have.
Tutti gli
interessati sono invitati a partecipare.
Classe
di Scienze