Il giorno lunedì 16 maggio alle ore 16.00 presso l'Aula Seminari del Dipartimento di Statistica e Metodi Quantitativi, al IV piano dell'edificio U7, il prof. Teemu Pennanen del King's College di Londra terrà un seminario su

Convex duality in optimal investment and contingent claim valuation in illiquid markets

Abstract

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions decompose into three terms, corresponding to the agent’s risk preferences, trading costs and portfolio constraints, respectively. The dual representations are shown to be valid when the market model satisfies an appropriate generalization of the no-arbitrage condition and the agent’s utility function satisfies an appropriate generalization of asymptotic elasticity conditions. When applied to classical liquid market models or models with bid-ask spreads, we recover well-known pricing formulas in terms of martingale measures and consistent price systems. Building on the general theory of convex stochastic optimization, we also derive optimality conditions in terms of an extended notion of a shadow price.This is joint work with Ari-Pekka Perkkiö.

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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