Thu, 03 Mar 2016
16:00 -
17:30
L4
Stochastic Dependence ,Extremal Risks and Optimal Payoffs
Ludger Rüschendorf
(Mathematische Stochastik Albert-Ludwigs University of Freiburg)
Abstract
We describe the possible influence of stochastic
dependence on the evaluation of
the risk of joint portfolios and establish relevant risk bounds.Some
basic tools for this purpose are the distributional transform,the
rearrangement method and extensions of the classical Hoeffding -Frechet
bounds based on duality theory.On the other hand these tools find also
essential applications to various problems of optimal investments,to the
construction of cost-efficient payoffs as well as to various optimal
hedging problems.We
discuss in detail the case of optimal payoffs in Levy market models as
well as utility optimal payoffs and hedgings
with state dependent utilities.