Colloquia Seminar: Prof. Dr. Ralf Korn, Save for the Bad Times or Consume As Long As You Have? Worst-Case Portfolio Optimization
Save for the Bad Times or Consume As Long As You Have? Worst-Case
Prof. Dr. Ralf Korn
Technical University Kaiserslautern, Germany
Invited by: Prof.Dr. A.Sevtap Kestel
Zoom Meeting ID: 984 0800 6920
Date/Time: 26.01.2021 - 15.30
Abstract: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.