CRM: Centro De Giorgi
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Advances in Mathematical Finance and Optimal Transport

Estimation of growth in fund models

speaker: Constantinos Kardaras (London School of Economics and Political Science)

abstract: "This study concerns estimation related to growth. The growth-optimal portfolio maximises expected logarithmic growth rate and plays a fundamental role in portfolio choice and asset pricing. Estimates of the growth-optimal portfolio under multi-fund models are derived. The accuracy of estimation is greater, the larger the variances of the returns. A measure of investors’ economic loss caused by information loss due to missing data, or unavailable observations, is provided. In particular, the economic loss is larger, the larger the investment universe or the factors affecting asset returns. The provided estimates have a Bayesian interpretation. A shrinkage method targets maximal growth with the least amount of deviation due to lack of information. (Joint work with Hyeng Keun Koo and Johannes Ruf.)"

Wed 29 Jun, 9:15 - 10:00, Aula Dini
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