<div dir="ltr"><p class=""><span style="font-size:18pt;font-family:'Times New Roman',serif">NO
FREE LUNCH SEMINAR</span><span style="font-size:18pt;font-family:'Times New Roman',serif"></span></p>

<p class=""><span style="font-size:16pt;font-family:'Times New Roman',serif">seminari di finanza quantitativa</span></p>

<p class=""><span style="font-size:10pt;font-family:'Times New Roman',serif"> </span></p>

<h2><span style="font-family:'Times New Roman',serif">Martedì
4 novembre 2014</span><span style="font-family:'Times New Roman',serif"></span></h2>

<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span style="font-size:16pt;font-family:'Times New Roman',serif">ore 13.00</span></p>

<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><u><span style="font-size:16pt;font-family:'Times New Roman',serif">Scuola Normale Superiore</span></u></p>

<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span style="font-size:16pt;font-family:'Times New Roman',serif">Pisa</span></p>

<p class="MsoNormal" align="center" style="margin-left:9pt;text-align:center;line-height:18pt"><span style="font-size:16pt;font-family:'Times New Roman',serif">Aula Bianchi
(Scienze)</span></p>

<p class="MsoNormal"><b><u><span style="font-size:10pt;font-family:'Times New Roman',serif"><span style="text-decoration:none"> </span></span></u></b></p>

<p class="MsoNormal" align="center" style="text-align:center"><b><span style="font-size:22pt;font-family:'Times New Roman',serif">Fabio Caccioli</span></b></p>

<pre style="text-align:center"><i><span style="font-size:12pt;font-family:'Times New Roman',serif;background-image:initial;background-repeat:initial">University College London</span></i><i><span style="font-size:12pt;font-family:'Times New Roman',serif"></span></i></pre>

<p class="MsoNormal"><i><span style="font-family:'Times New Roman',serif"> </span></i></p>

<p class="MsoNormal" align="center" style="text-align:center"><span style="font-size:16pt;font-family:'Times New Roman',serif">Terrà un
seminario dal titolo:</span></p>

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<p class="MsoNormal" align="center" style="text-align:center"><b><i><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif">“</span></i></b><b><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif;background-image:initial;background-repeat:initial">Instabilities in portfolio optimization and
regularization</span></b><b><i><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif">”</span></i></b><b><span lang="EN-US" style="font-size:22pt;font-family:'Times New Roman',serif"></span></b></p>

<p class="MsoNormal" style="text-align:justify"><b><i><span lang="EN-US" style="font-size:10pt;font-family:'Times New Roman',serif">Abstract:</span></i></b></p>

<p class="MsoNormal" style="text-align:justify"><i><span lang="EN-US" style="font-family:'Times New Roman',serif;background-image:initial;background-repeat:initial">We consider the problem
of portfolio selection in presence of market impact, and we show that including
a term which accounts for finite liquidity in portfolio optimization naturally
mitigates the instabilities that arise in the estimation of coherent risk
measures. This is because taking into account the impact of trading in the
market is mathematically equivalent to introducing a regularization on the risk
measure. We show that the impact function determines which regularizer is to be
used, and we characterize the typical behavior of the optimal portfolio in the
limit of large portfolio sizes for the case of Expected Shortfall</span></i><span lang="EN-US" style="font-size:10pt;font-family:Arial,sans-serif;background-image:initial;background-repeat:initial">.</span><span lang="EN-US" style="font-size:16pt;font-family:'Times New Roman',serif"></span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>

<p class="MsoNormal" style="text-align:justify"><span style="font-size:16pt;font-family:'Times New Roman',serif">Tutti gli interessati sono invitati a
partecipare.</span></p>

<p class=""><span style="font-size:16pt;font-family:'Times New Roman',serif"> </span></p>

<p class=""><span style="font-size:16pt;font-family:'Times New Roman',serif">Classe di Scienze</span></p><div><div dir="ltr"><div>Valeria Giuliani</div><div>Scuola Normale Superiore</div><div>Servizio alla Didattica e Allievi</div><div>tel. 050 509260</div><div>Piazza dei Cavalieri, 7</div><div>56126 Pisa</div><div>E-mail: <a href="mailto:valeria.giuliani@sns.it" target="_blank">valeria.giuliani@sns.it</a></div><div>E-mail: <a href="mailto:classi@sns.it" target="_blank">classi@sns.it</a></div></div></div>
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