第12回デリバティブ部会セミナー

投稿日: 2014/08/19 7:56:32

日時：2014年8月29日(金曜) 18:30- 20:00

場所：東京大学本郷キャンパス, 小島ホール1F, 第1セミナー室

http://www.carf.e.u-tokyo.ac.jp/english/access/index.html

講師：Christoph Czichowsky 氏 (London School of Economics)

講演タイトル：Shadow prices: Sufficient conditions, counter-examples, explicit construction

講演概要：To solve utility maximization problems under proportional transaction costs, one can sometimes replace the original market with transaction costs by a frictionless shadow market that gives the same optimal strategy and utility. In this talk we provide sufficient conditions, when this is possible, as well as counter-examples in the case these conditions are not satisfied. For the geometric Ornstein-Uhlenbeck process we explicitly construct such a shadow price to determine the growth-optimal portfolio under transaction costs and explain the new effects resulting from the stochastic investment opportunity set in this construction. The talk is based on joint work(s) with Walter Schachermayer and several other collaborators.