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                Department of Systems Engineering and Engineering Management
                                The Chinese University of Hong Kong

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Date: March 1, Thursday, 4:30 - 5:30pm.

Title:  Cost Efficiency in Incomplete Markets

Speaker: Stephan Sturm (Worcester Polytechnic Institute) 

Abstract:  

We establish a cost efficiency principle that allows to characterize the optimizer of general portfolio optimization problems in distributional terms: The price of a cost-minimizing strategy is identified as the minimal superhedging price of random variables dominated in convex order. This result relies on a minimax theorem on the cone of nonnegative random variables and lends itself to a wide array of applications, such as the distribution builder approach to portfolio optimization, the evaluation of the performance of hedge fund managers and the re-interpretation of results of behavioral finance in classical terms. This is joint work with Carole Bernard.  

Speaker Bio:

After undergraduate education at the University of Vienna (Austria), Stephan Sturm received his PhD in Mathematics from TU Berlin (Germany). After a PostDoc at the Department of Operations Research and Financial Engineering (ORFE) at Princeton University he became Assistant Professor in Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Worcester, Mass. His research interest lie in the field of financial mathematics, concentrating on topics highlighted by the recent financial crisis: Counterparty credit risk and funding spreads, incentive schemes and delegated portfolio management, central clearing of derivatives and systemic risk.  

Everyone is welcome to attend the talk!
 

Venue: Room 513,William M.W. Mong Engineering Building
(ERB),(Engineering Building Complex Phase 2) The Chinese University of
Hong Kong.
 

The talk will be hosted by:
Prof. Chen Nam,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: nchen@se.cuhk.edu.hk
Homepage: http://www.se.cuhk.edu.hk/people/nchen.html

SEEM-5202 Website:  http://seminar.se.cuhk.edu.hk
Email:  seem5202@se.cuhk.edu.hk