Robust optimization in financial markets: from Orlicz-space to Modular-space approach

par M. Julio Backhoff (Humboldt-Universität zu Berlin)

vendredi 11 oct. 2013, 08:00 → 09:00 Europe/Paris

203 (XLIM)

"The problem of robust utility maximization in mathematical finance is of a max-min type, where one set of variables live in a bounded set of measurable functions whereas the other live in a set bounded in $L^1$, which is typically assumed weakly-compact. In this talk I will show how the structure of the problem suggests a way to disposing of this compactness hypothesis, first via the introduction of an appropriate Orlicz space and later, in more generality, of a Modular space."