Ομιλία των Κ. Carole Bernard and Steven Vanduffel, στο Σεμινάριο του Τομέα Μαθηματικών της ΣΕΜΦΕ, την Τετάρτη 28 Μαρτίου στις 13:05, στην Αίθουσα Σεμιναρίων του τομέα Μαθηματικών (2ος όροφος, κτίριο Ε).
Τίτλος : “Cost efficient strategies under model ambiguity”
Περίληψη : “A strategy is cost-efficient if it is the cheapest way to achieve its terminal probability distribution. The solution to the standard cost efficiency problem depends crucially on the fact that a single real-world measure P is available to the investor pursuing a cost-efficient approach. In most applications of interest however, a historical measure is neither given nor can it be estimated with accuracy from available data. To incorporate the uncertainty about the measure P in the cost efficiency approach we assume that, instead of a single measure, a class of plausible prior models is available. We define the notion of robust cost-efficiency and highlight its link with the maxmin expected utility setting of Gilboa and Schmeidler (1989) and more generally with robust preferences in a possibly non expected utility setting. We illustrate our findings in a LogNormal market with ambiguity on the drift and ambiguity on the volatility parameter. (joint work with Thibaut Lux)”