Il giorno mercoledì 15 marzo alle ore 14 presso la Aula
Seminari 4026 del DISMEQ, al IV piano dell'edificio U7, si terranno i
seguenti seminari:
14.00 - 15.00
CAROLE BERNARD
Optimal Portfolio Choice with Benchmarks
We construct an algorithm that allows to numerically obtain an investor's
optimal portfolio under general preferences. In particular, the objective
function and risks constraints may be driven by benchmarks (reflecting
state-dependent preferences). We apply the algorithm to various classic
optimal portfolio problems for which explicit solutions are available and
show that our numerical solutions are compatible with them. This
observation allows to conclude that the algorithm can be trusted as a
viable way to deal with portfolio optimization problems for which
explicit solutions are not in reach. This is joint work with Rob De
Staelen (University of Ghent) and Steven Vanduffel (Vrije Universiteit
Brussel).
15.00 - 16.00
STEVEN VANDUFFEL
Optimal Strategies under Omega Ratio
We study optimal investment strategies under the objective of maximizing
the Omega ratio, proposed by Keating and Shadwick (2002) as an
alternative to the Sharpe ratio forperformance assessment of investment
strategies. We show that in a standard set-up of the financial market the
problem is ill-posed, i.e., maximizing the Omega ratio leads to excessive
risk taking. By imposing additional restrictions we show that the Omega
ratio maximizing strategy is still very risky and may coincide with the
choice made by risk neutral investors. We conclude that caution is needed
when using the Omega ratio for making asset allocation
decisions.
Tutti gli interessati sono invitati a partecipare.
Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini
http://scholar.google.it/citations?user=P61L8P4AAAAJ&hl=it