Seminar in applied mathematics and statistics

SPEAKER: Rafael Serrano (Universidad del Rosario).

TITLE: Utility maximization in a general semimartingale model with nonlinear wealth dynamics.

ABSTRACT:  We use convex duality techniques to study the risk-averse utility maximization problem in a (non-markovian) multidimensional semimartingale market model. We assume the instantaneous expected return of the wealth dynamics is a non-linear function of the portfolio choices. This allows modeling the additional cash flow that results from a variety of market frictions, for instance, the funding cost arising from differential borrowing and lending rates, or the aggregate production inflow of a firm with constant return-to-scale Cobb-Douglas technology subject to exogenous shocks with jumps. In addition to providing a general result for additive utilities satisfying Inada conditions, we characterize explicitly optimal strategies for CRRA utilities. I will also present some applications to risk-averse ALM for insurers wih differential rates.

Tea and chocolate will be served in room 04.4.19 after the seminar.

------

Upcoming events:

Friday, December 14 at 14.15: Moritz M. Schauer

Friday, February 8, 2019, at 14.15: Massimiliano Tamborrino

Friday, February 15, 2019 at 14.15: Irene Tubikanec