Mathematisches Seminar

Vortrag von Herrn Dr. Christoph Czichowsky (Universität Wien): "Shadow Prices: sufficient conditions, counter-examples, explicit construction"

29.11.2012 von 14:15 bis 15:45

WR 383, Raum 306/307

Einladender: Kallsen

Abstract:
To solve utility maximization problems under proportional transaction
costs, one can sometimes replace the original market with transaction
costs by a frictionless shadow market that gives the same optimal
strategy and utility. In this talk we provide sufficient conditions,
when this is possible, as well as counter-examples in the case the
conditions are not satisfied. For the geometric Ornstein-Uhlenbeck
process we explicitly construct such a shadow price to determine the
growth-optimal portfolio under transaction and explain the effects
resulting from the stochastic investment opportunity set in this
construction. The talk is based on joint work(s) with Philipp Deutsch,
Johannes Muhle-Karbe and Walter Schachermayer.

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