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.
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