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)
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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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