Description
Kivonat:
I will present the results of the recent preprint "Young, Timid, and Risk Takers (Guasoni, Nagy, Rásonyi)", enclosed, which shows that central tenets of modern portfolio theory, such as homogeneity of optimal strategies and turnpike theorems - in contrast with the common belief - after a certain threshold of risk aversion, are not at all universal. Our framework figures a price process that follows a drifted diffusion that is a generalization, more precisely a "power model" version, of the well-known Ornstein-Uhlenbeck process. Naive heuristic reasoning leads us from the sub-quadratic growth of a model with discrete autoregressive price, to the rather surprising quadratic optimality of the limiting Ornstein-Uhlenbeck model. This result extends to our power model. The strategies exploit both the drift and the mean reversion of the price, and despite the ergodicity of the underlying model, the strategies do not recover such properties in the limit.
Az előadás magyar nyelven lesz, angol slide-okkal.
For Zoom access please contact Miklos Rasonyi (rasonyi.miklos[a]renyi.hu).