Vortragsankuendigung:
Prof. M. Frittelli (Univ. Mailand)
Ort: WU Wien, Zentrum fuer Statistik und Informatik (UZAII),
Seminarraum des Instituts fuer Statistik (4. Stock)
Datum: Donnerstag, 19.06.1997
Zeit: 17:00 Uhr
Title:
Certainty Equivalent and No Arbitrage Pricing in Incomplete Markets
Abstract:
We describe a general methodology for the valuation problem in incomplete
financial markets that reconciles the utility and martingale approaches.
We develop a utility based criterion to select the no-arbitrage linear
pricing functional that is ''closest'' to the Certainty Equivalent
pricing functional. As special cases we derive the variance
optimal and the minimal entropy martingale measures.
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