Wednesday, April 21, 2021 - 17:00 in ZOOM - Video Conference
Risk Averse Optimization Criteria in Dynamic Financial Decision Making
A talk in the Mathematical finance / Insurance mathematics series by
Nicole Bäuerle from Karlsruher Institut für Technologie
| Abstract: |
Risk aversion is crucial in financial decision making. In this talk we consider an optimality criterion which is based on the recursive application of static risk measures. This is motivated by recursive utilities in the economic literature and has been studied before for the entropic risk measure. We derive a Bellman equation and prove the existence of Markovian optimal policies. For an infinite planning horizon, the model is shown to be contractive and the optimal policy to be stationary. Moreover, we establish a connection to distributionally robust Markov Decision Processes, which provides a global interpretation of the recursively defined objective function. Monotone models are studied in particular. Applications and numerical issues are also discussed. The talk is based on joint work with Alexander Glauner.
Zoom Meeting ID: 95930746952
Passcode: 098268
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