---------- Forwarded message ---------- Date: Mon, 25 Oct 2021 14:27:29 +0200 From: grassell@math.unipd.it To: vargiolu@math.unipd.it Subject: Annuncio Seminario Johannes Ruf
Caro Tiziano
potresti estendere alla tua lista l'annuncio del seguente seminario please ? Verr? tenuto in presenza con possibilit? di seguirlo via zoom.
Grazie mille Martino
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On Tuesday Nov 2 at 11am the Math Department of the University of Padua is pleased to host a seminar given by Prof. Johannes Ruf (LSE University, London).
Here below the relevant details:
WHEN: November 2, at 11:00am
WHERE: Room 2BC30 at 2nd floor of the Math Department "Tullio Levi-Civita", via Trieste 63, Padua
ZOOM link: https://unipd.zoom.us/j/83202006980 (without password)
SPEAKER: Johannes Ruf
TITLE: The Growth-Optimal Portfolio in Fund Models
ABSTRACT: This study concerns the estimation of the growth-optimal portfolio. The growth-optimal portfolio, or the numeraire portfolio, maximises the expected logarithmic growth rate and plays a fundamental role in portfolio choice and asset pricing. Efficient estimates of the growth-optimal portfolio under the CAPM and multi-fund models are derived. The accuracy of estimation is greater, the larger the variances of the returns. A measure of investors' economic loss caused by information loss due to missing data or unavailable observations is provided. In particular, the economic loss is larger, the larger the investment universe or the factors affecting asset returns. The estimate has a Bayesian interpretation. A shrinkage method targets maximal growth with the least amount of deviation of the growth rates.