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Seminar by Ralf Korn

Title: Save for the bad times or consume as long as you have? - Worst-Case Optimal Consumption and Portfolio Problems

Speaker: Prof. Ralf Korn

Date and Time: 20 March, 2023, 2:15 pm to 3:15 pm

Venue:  Online on MS Teams, but will be broadcast in room CL109 

Abstract: The talk looks at a life-time consumption problem under the threat of a possible stock market crash. However, there is no probabilistic model if and when the crash will come. By solving the consumption-investment in an explicit way, we can show that it depends on the attitude towards risk, if an investor will save for the possible bad times or will consume more as long as times are good.

Although the talk will be based on continuous-time financial market modelling, the focus will be on the presentation and interpretation of results. It will not go into deep technical issues.

Speaker profile: Ralf Korn is professor of financial mathematics and stochastic control at the University of Kaiserslautern-Landau, Germany. He also cooperates with the Fraunhofer ITWM in many industry projects for the insurance and the finance industry. He is currently the Chairman of the German Society for Actuarial and Financial Mathematics (DGVFM). His main research areas are applications of Stochastic Control, Monte Carlo Methods, Machine Learning and Tree Methods in Financial and Actuarial Mathematics.

 

 

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