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Stephan Sturm

  1. Portfolio Optimization under Convex Incentive Schemes.

    Чт, 09/15/2011 - 15:01 — SomNambul
    Authors: Stephan Sturm, Maxim Bichuch
    Subjects: Portfolio Management
    Abstract

    We consider the utility maximization problem of terminal wealth from the
    point of view of a portfolio manager paid by an incentive scheme given as a
    convex function $g$ of the terminal wealth. The manager's own utility function
    $U$ is assumed to be smooth and strictly concave, however the resulting utility
    function $U \circ g$ fails to be concave. As a consequence, this problem does
    not fit into the classical portfolio optimization theory.

  2. From Smile Asymptotics to Market Risk Measures.

    Втр, 07/26/2011 - 15:01 — SomNambul
    Authors: Ronnie Sircar, Stephan Sturm
    Subjects: General Finance
    Abstract

    The left tail of the implied volatility skew, coming from quotes on
    out-of-the-money put options, can be thought to reflect the market's assessment
    of the risk of a huge drop in stock prices. We analyze how this market
    information can be integrated into the theoretical framework of convex monetary
    measures of risk. In particular, we make use of indifference pricing by dynamic
    convex risk measures, which are given as solutions of backward stochastic
    differential equations (BSDEs), to establish a link between these two
    approaches to risk measurement.

Math-arch

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