[FAM-news] FAM Seminar: Tomorrow

Victor Olevskii vit@fam.tuwien.ac.at
Mon, 9 Jul 2001 17:37:25 +0200

Financial and Actuarial Mathematics: Time Table
PV Schachermayer (Tuesday 16:30-18:00)

10.07.2001 - Michael Kirch (Humboldt Universitšt zu Berlin)

Title: Efficient Hedging under Model-Uncertainty

We consider an investor who has sold an option and who now seeks to hedge
against the induced risk using a fixed amount of capital. Efficient hedging
strategies minimize the shortfall risk. If risk is measured by the
expectation of the weighted shortfall, the remaining risk and the efficient
hedging strategy depend on the "objective" probability measure (i.e. model)
under consideration. However, the investor is typically faced with
uncertainty about the appropriate model. We therefore allow for a class of
different models and examine hedging strategies that are "robust" in the
sense that they minimize the maximal shortfall risk. Here the maximum is
taken over all models within the class. The solution to the corresponding
mini-max problem is a saddle point. Under appropriate conditions, the
robust-efficient strategy under model-uncertainty coincides with the
efficient strategy for a fixed "worst-case" model. We also consider a
stationary testing problem associated to the dynamic problem of efficient
hedging. The maximin-optimal test for this problem can be described in
terms of a worst-case pricing rule and a worst-case model, i.e.,
a "least-favorable pair".

Location: TU FH, Turm A, 6. Stock, Seminarraum 107
Web page: http://www.fam.tuwien.ac.at/schedule/
See also: http://www.fam.tuwien.ac.at/~vit/conf.html