Dear all,
on Friday 23 september, at 3pm , we will have the pleasure to host the seminar of Prof. Eckhard Platen from University of Sydney, who is visiting our math department during this week.
The seminar will be in presence at the Department of Mathematics, University of Padova, room 702 (stair B, 7th floor at via Trieste 63, Padova) and available on Zoom at the following address:
https://unipd.zoom.us/j/86350461357
Title and abstract of the presentation are here below.
Modeling Long-Term Stock Market Dynamics via Entropy Maximization
Eckhard Platen University of Technology Sydney
Abstract: By assuming the existence of the growth optimal portfolio (GP) and maximizing the entropy for a hierarchically structured stock market, the paper derives the GP dynamics as those of time-transformed squared Bessel processes of dimension four. The average of each of their squared volatility components is shown to converge toward a common level. The initial values of basis security accounts turn out to be gamma-distributed. The risk-adjusted return of the GP is not depending on a savings account and can be significantly higher than classical assumptions allow to explain.
Best regards Tiziano
-------------------------------------------------------------------------- Tiziano Vargiolu Dipartimento di Matematica Phone: +39 049 8271383 Universita' di Padova Fax: +39 049 8271428 Via Trieste, 63 E-mail: vargiolu@math.unipd.it I-35121 Padova (Italy) WWW: http://www.math.unipd.it/~vargiolu --------------------------------------------------------------------------