Faculty of Mathematics
Collaborative Research Centre 701
Spectral Structures and Topological Methods in Mathematics
stripes SFB701

Wednesday, November 15, 2017 - 17:15 in V3-201

Save for the Bad Times or Consume as Long as You Have? - Worst-Case Portfolio Optimization and Applications

A talk in the 'Bielefeld Stochastic Afternoon - Math Finance Session' series by
Ralf Korn from TU Kaiserslautern
Abstract: Rare events and their consequences are hard - if not impossible - to estimate. The worst-case approach deals with this problem via distuinguishing randomness and uncertainty. As a consequence, portfolio optimization problems are split into optimization and indifference parts.

In this talk, we give a survey on the worst-case approach, highlight a surprising application in optimal consumption and present new aspects.

Further, we also highlight the use of the martingal optimality principle in solving the resulting problems.