[CvGmt News] avviso NO FREE LUNCH SEMINAR seminari di finanza quantitativa dr. Fabio Caccioli (4.11.2014)

[Valeria Giuliani]

NO FREE LUNCH SEMINAR

seminari di finanza quantitativa


Martedì 4 novembre 2014

ore 13.00

*Scuola Normale Superiore*

Pisa

Aula Bianchi (Scienze)



*Fabio Caccioli*

*University College London*



Terrà un seminario dal titolo:



*“**Instabilities in portfolio optimization and regularization**”*

*Abstract:*

*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*.





Tutti gli interessati sono invitati a partecipare.



Classe di Scienze
Valeria Giuliani
Scuola Normale Superiore
Servizio alla Didattica e Allievi
tel. 050 509260
Piazza dei Cavalieri, 7
56126 Pisa
E-mail: valeria.giuliani at sns.it
E-mail: classi at sns.it
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