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. =========================================================================