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Sigrid KÄLLBLAD (Vienna University of Technology) – “Forward criteria and the assumption of zero volatility in the presence of model uncertainty and consumption streams “

December 3, 3:30 pm - 4:30 pm

1st Monday of each month

Time: 3:30 pm – 4:30 pm
Date: 03 th of December 2018
Place: Room 3105

Sigrid KÄLLBLAD (Vienna University of Technology) – “Forward criteria and the assumption of zero volatility in the presence of model uncertainty and consumption streams ”

Abstract :In this talk we discuss so-called forward criteria, also referred to as progressive utilities, and their usage within the theory of optimal investments. Key focus is on how the restriction to criteria with zero volatility affects the problem. On the one hand, we will relate such non-volatile criteria to an inverse investment problem posed by Black. On the other hand, we will study how the restriction to and classification of criteria with zero volatility is affected by the presence of consumption streams and model uncertainty.

The talk is partially based on joint work with J. Obloj and T. Zariphopoulou. 

 

 

 

Details

Date:
December 3
Time:
3:30 pm - 4:30 pm
Event Categories:
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Organizers

Caroline HILLAIRET
Peter TANKOV