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'Worst-case portfolio optimization with applications in finance and insurance'.

Event details of Actuarial Science Seminar: Ralf Korn
Date 14 November 2008
Time 11:00 -12:00

Worst-case portfolio optimization with applications in finance and insurance

Abstract

We consider the problem of optimal investment under the threat of a crash of uncertain height. Further, we do not know if and when the crash happens. For this a new stock price model will be introduced and the approach of worst-case portfolio optimization will be developed. The computed optimal portfolio strategies show a much more realistic behaviour than the ones obtained in the standard Merton setting. Applications to both portfolio problems in financial and actuarial models are given.

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