Seminar by Prof. Georg Pflug, University of Vienna
Event details
| Date | 13.02.2017 |
| Hour | 14:00 › 15:30 |
| Speaker | Prof. Georg Pflug, University of Vienna |
| Location | |
| Category | Conferences - Seminars |
"Ambiguity in multistage stochastic optimization and in portfolio selection"
Abstract
Stochastic decision models suffer often from the drawback that decisions are quite dependent on the probability distribution of the uncertain parameters, but our knowledge about these distributions is limited and only based on some observed data. In this talk, we consider the distributionally robust approach of decision making, which takes the consideration of possible model errors as an integal part into account. Our model errors of nonparametric type and are based on either Wasserstein-type distances or their multistage generalization called nested distances. As an example, we show that in portfolio optimization, the assumption of totel model ignorance leads to the uniform investment portfolio, while the ignorance of the dependency structures only leads to a concentrated portfolio. Another example shows a modification of the classical option price formulas in case of model ambiguity. In addition, some results on optimal hydropower production in a multistage context will be presented.
Abstract
Stochastic decision models suffer often from the drawback that decisions are quite dependent on the probability distribution of the uncertain parameters, but our knowledge about these distributions is limited and only based on some observed data. In this talk, we consider the distributionally robust approach of decision making, which takes the consideration of possible model errors as an integal part into account. Our model errors of nonparametric type and are based on either Wasserstein-type distances or their multistage generalization called nested distances. As an example, we show that in portfolio optimization, the assumption of totel model ignorance leads to the uniform investment portfolio, while the ignorance of the dependency structures only leads to a concentrated portfolio. Another example shows a modification of the classical option price formulas in case of model ambiguity. In addition, some results on optimal hydropower production in a multistage context will be presented.
Practical information
- General public
- Free