Save for the Bad Times or Consume As Long As You Have? Worst-Case
Portfolio Optimization 

Prof. Dr. Ralf Korn  
Technical University Kaiserslautern, Germany  

Invited by: Prof.Dr. A.Sevtap Kestel
Zoom Meeting
ID: 984 0800 6920
26.01.2021 - 15.30

We consider an investment and consumption problem in the face of a once-in-a-life-time event that causes the stock market to crash. However, there is no probabilistic information on the occurrence and the height of the crash. We are faced with what is called Knightean uncertainty. Thus, traditional portfolio optimization approaches are not applicable.  The talk contains an introduction into standard portfolio optimization methods and into the worst-case  pproach. A so-called life time consumption problem will be solved and leads to an explicit solution that depends on the character of the investor and that allows for economic interpretations.  

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Last Updated:
29/01/2021 - 01:03