On behalf of the Scientific Committee of the de Finetti Risk Seminars, we are glad to invite you to participate at the following Lecture
TITLE: Optimal arbitrage and portfolio optimization for market models satisfying NUPBR but not NFLVR
WOLFGANG RUNGGALDIER University of Padova
ABSTRACT: The classical no-arbitrage condition of NFLVR is often too strong and can be weakened thereby still allowing to solve meaningfully standard problems in mathematical finance. A weaker condition to this effect is NUPBR (NA1). For market models satisfying NUPBR, but where NFLVR does not hold, classical arbitrage is thus possible and the interest arises to construct such models and and to obtain for them optimal arbitrage. In particular, we consider models with insider information and for such models we discuss, besides optimal arbitrage, also the possibility of solving portfolio optimization problems by analogy to classical duality even under absence of an ELMM. (Joint work with N.H.Chau and P.Tankov)
LOCATION: The seminar will be held on Wednesday, January 20, at 18.00, Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A refreshment will be offered at 17.30.
Scientific Committee
Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca) Dott. Marco Maggis (Univ. degli Studi di Milano)
**************************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano
Tel. 02 64483208 Fax. 02 64483105 e-mail: emanuela.rosazza1@unimib.it
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