On behalf of the Scientific Committee of the "B. de Finetti Risk Seminars, Milano Lectures on the Mathematical Theory of Economics and Finance”, we are glad to invite you to participate at the following Lecture:
Cosimo Andrea Munari University of Zurich, Switzerland
Title: Market-consistent pricing with acceptable risk
Abstract: We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full replication by way of market instruments is not always possible. Rationality is defined in terms of consistency with market prices and acceptable risk thresholds. We obtain a direct and a dual description of market-consistent prices with acceptable risk. The dual characterization requires an appropriate extension of the classical Fundamental Theorem of Asset Pricing where the role of arbitrage opportunities is played by good deals, i.e., costless investment opportunities with acceptable risk-reward tradeoff. In particular, we highlight the importance of scalable good deals, i.e., investment opportunities that are good deals regardless of their volume. The talk is based on joint work with Maria Arduca (LUISS Rome).
LOCATION: The seminar will be held on *November 30, *2022 at *18.00,* Aula di rappresentanza, Dept. of Mathematics, Milano University, Via C. Saldini 50, Milano. A light reception will take place at 17.45.
Scientific Committee
Prof. Simone Cerreia-Voglio (Univ. Bocconi) Prof. Marco Frittelli (Univ. degli Studi di Milano) Prof. Fabio Maccheroni (Univ. Bocconi) Prof. Marco Maggis (Univ. degli Studi di Milano) Prof. Massimo Marinacci (Univ. Bocconi) Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)
****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano
Tel. 02 64483208 e-mail: emanuela.rosazza1@unimib.it
****************************************** ****************************************** Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano
Tel. 02 64483208 e-mail: emanuela.rosazza1@unimib.it
******************************************