Mercoledì 20 Gennaio alle ore 13, presso l'aula Master al 5°  piano del Dipartimento MEMOTEF

(Sapienza Università di Roma, via del Castro Laurenziano 9) si terrà il seminario:

"The Robust Merton Problem of an Ambiguity Averse Investor"

Prof. Sara Biagini, Dipartimento di Economia e Finanza-LUISS G. Carli

Abstract:  

We derive a closed form portfolio optimization rule for an investor who is di dent about

mean return and volatility estimates, and has a CRRA utility. The novelty is that condence

is here represented using ellipsoidal uncertainty sets for the drift, given a volatility realization.

This specication a ords a simple and concise analysis, as the optimal portfolio allocation

policy is shaped by a rescaled market Sharpe ratio, computed under the worst case volatility.

The result is based on a max-min Hamilton-Jacobi-Bellman-Isaacs PDE, which extends the

classical Merton problem and reverts to it for an ambiguity-neutral investor.

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Cordiali saluti

Gabriele Stabile