Ekonomická a finančná matematika

Vazeni kolegovia,

pozyvame Vas na seminar Centra pre ekonomiu a financie Fakulty matematiky,
fyziky a informatiky Univerzity Komenskeho. Jeho obsahom bude prednaska

Ales Cerny (City University London):

Admissible strategies for semimartingale portfolio selection,

ktora sa uskutocni v piatok 12.3.2010 o 14:00 hod.(upozornujeme na zmenu dna zo standardnej stredy na piatok a tiez na zmenu hodiny na 14:00)
v poslucharni C na FMFI UK.

Abstrakt prednasky:
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last 20 years.

We propose a novel notion of admissibility that has many pleasant features -- admissibility is characterized purely under the objective measure $P$; the wealth of any admissible strategy is a supermartingale under all pricing measures; local boundedness of the price process is not required; neither strict monotonicity, strict concavity nor differentiability of the utility function are necessary; the definition encompasses both the classical mean-variance preferences and the monotone expected utility.

For utility functions finite on the real line, our class represents a minimal set containing simple strategies which also contains the optimizer, under conditions that are milder than the celebrated reasonable asymptotic elasticity condition on the utility function.


Viac informacii o seminaroch najdete na web-stranke:
http://www.defm.fmph.uniba.sk/
v casti "Aktuality a seminare".


Taktiez Vam davame do pozornosti oznam o prednaske nobeloveho laureata Roberta Mundella na Ekonomickej univerzite:

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Dobry den,

Chceli by sme dat do pozornosti prednasku profesora Roberta Mundella 10.3. o 14:00 na Ekonomickej unverzite v aule, ktoru organizuje Virtual Scientific Laboratories a Nadacia Tatrabanky.
Miesta treba zaujat 20 minut pred prednaskou, dakujeme.

10.3 od 17:00 do 19:00 organizujeme Workshop na temu "Workshop o Potencialnych Hrozbach pre Europsku Menovu Uniu" v Hoteli Devin s profesorom Robertom Mundellom.

Ak mate zaujem zucastnit sa na Workshope prosim potvrdte svoju svoju ucast na emailovej adrese
kovac@elec.gla.ac.uk
do 5.3.2010.

S pozdravom
Urban Kovac
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Tesime sa na Vasu ucast,

CEF