Ekonomická a finančná matematika http://www.iam.fmph.uniba.sk/studium/efm/forum/ |
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Seminar centra pre ekonomiu a financie 12.3.2010 http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=17&t=319 |
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Autor: | kilianova [ Str Mar 03, 2010 9:39 am ] |
Predmet príspevku: | Seminar centra pre ekonomiu a financie 12.3.2010 |
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: ------------------------------------------------------------------- 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 ------------------------------------------------------------------- Tesime sa na Vasu ucast, CEF |
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