[Forum SIS] seminario di Finanza Matematica al Politecnico di Torino 28/06/12

[Mauro Gasparini]

Giovedi' 28 giugno alle ore 11.30, nell'aula 1D
   IIl piano vicino al Dip. di Scienze Matematiche
          (Politecnico di Torino)

   LUCIANO CAMPI
   (Université Paris 13)


terra' un seminario dal titolo:


ON THE EXISTENCE OF SHADOW PRICES


ABSTRACT:

For utility maximization problems under
proportional transaction costs, it has been observed that
the original market with transaction costs can
sometimes be replaced by a frictionless shadow market
that yields the same optimal strategy and
utility. However, the question of whether or not this indeed
holds in generality has remained elusive so far.
In this paper we present a counterexample which
shows that shadow prices may fail to exist.
On the other hand, we prove that short selling
constraints are a sufficient condition to warrant their existence,
even in very general multi-currency market models
with possibly discontinuous bid-ask-spreads.

This is a joint work with G. Benedetti, J. Kallsen and J. Muhle-Karbe.


-- 

Mauro Gasparini
Full Professor of Statistics
Editor of Biometrical Journal (2012-2015)
Dipartimento di Scienze Matematiche, Politecnico di Torino
Corso Duca degli Abruzzi 24 I-10129 Torino, Italy
tel: +39 011 090 7546
fax: +39 011 090 7599
email: gasparini a calvino.polito.it
www: http://calvino.polito.it/~gasparin/