Department Mathematik
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Mathematisches Kolloquium


Am Freitag, 17. Juni 2011, um 16 Uhr c.t. spricht

Prof. Dr. Martin Schweizer
(ETH Zürich)

im Hörsaal A027 über das Thema

Mean-variance optimisation in mathematical finance

Zusammenfassung: We give an overview of classical and new results on mean-variance hedging and mean-variance portfolio choice. Loosely speaking, the former is the problem of finding a best approximation (in the mean-square error sense) to a given financial payoff by means of a self-financing dynamic portfolio strategy. The latter is the problem of finding via trading a financial position with minimal risk and maximal return. We give precise mathematical formulations (for all the terms used above) and present classical results as well as some recent developments. The overall goal is to reach a general mathematical audience rather than the specialists in the field. The talk is based on joint work with several collaborators.
Alle Interessierten sind hiermit herzlich eingeladen. Eine halbe Stunde vor dem Vortrag gibt es Kaffee und Tee im Sozialraum (Raum 448) im 4. Stock.
Treffpunkt zum Abendessen um 18.00 Uhr wird noch bekannt gegeben.