Financial and Actuarial Mathematics  
TU Wien, Austria  

2012-11-06  PDF  MS-Word

Einladung zur Vortragsreihe aus Finanz- und Versicherungsmathematik

Assoc.Prof. Dr. Carole Bernard

Department of Statistics and Actuarial Science, University of Waterloo

Mean-Variance Optimal Portfolios in the Presence of a Benchmark with Applications to Fraud Detection

We first study mean-variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean-variance efficient portfolios when investors aim to achieve a given correlation (or a given dependence structure) with a stochastic benchmark. We also provide upper bounds on Sharpe ratios and show how these can be useful for fraud detection. For example it is shown that under some conditions it is not possible for investment funds to display negative correlation with the financial market and to have a positive Sharpe ratio. All results are illustrated in a Black-Scholes market.
This is joint work with Steven Vanduffel (Vrije Universiteit Brussel).

Zur Person: Carole Bernard is currently associate professor in the department of Statistics and Actuarial Science at the University of Waterloo. In 2005, she obtained her PhD in Finance from the University of Lyon in France on the subject of "Valuation of Guarantees in Insurance and in Finance using the Option Theory". It received the award for the best PhD in Finance (2005) in France. Since then, Dr. Bernard has published in many journals in actuarial science, mathematics, economics and finance. She was recently awarded the 2011 EGRIE Young Economist Best Paper Award for the paper "Financial bounds for Insurance Claims" with Steven Vanduffel and the 2012 Johann de Witt prize for the paper "Explicit Representation of Cost-Efficient Strategies" with P. Boyle and S. Vanduffel.

Termin: Dienstag, 6. November 2012, 16:30 Uhr s.t.
Ort: Technische Universität Wien
1040 Wien, Wiedner Hauptstraße 8-10
Freihaus, Turm A (grüner Bereich), 6. Stock,
Seminarraum 107

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Mag. Christoph Krischanitz
Präsident der Aktuarvereinigung Österreichs
Präsident des Österreichischen Förderungsvereins der Versicherungsmathematik

Dr. Franz Kronsteiner
Präsident der Österreichische Gesellschaft für Versicherungsfachwissen

o.Univ.-Prof. Dr. Walter Schachermayer
Fakultät für Mathematik, Universität Wien

Univ.-Prof. Dr. Thorsten Rheinländer
Univ.-Prof. Dr. Uwe Schmock
Finanz- und Versicherungsmathematik (FAM), Technische Universität Wien