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Session Overview |
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S 8 Keynote: Finance, insurance and risk: Modelling
Session Topics: 8. Finance, insurance and risk: Modelling
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3:50 pm - 4:40 pm
On optimality criteria for dynamic investment and their connections In this presentation, we will explore various optimization criteria for portfolio investment problems and discuss their properties. A pivotal role is played by the risk-sensitive objective which is linked to Mean-Variance problems and risk measures. We show how to solve multi-stage risk-sensitive problems and discuss the impact of the risk-sensitivity parameter on the optimal policy. These kind of criteria typically lead to time-inconsistent optimal investment strategies. Using a Mean-Variance example we explain how this issue can be resolved by using a new interpretation. In the end we consider problems with risk-measures and if time allows discuss parameter uncertainty in these problems and propose methods to manage it. The talk is based on joint works with Anna Jaskiewicz, Antje Mahayni, Marcin Pitera, Ulrich Rieder and Lukasz Stettner. | ||
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