Mercoledì 20 Gennaio alle ore 13, presso l'aula Master al 5°  piano del Dipartimento MEMOTEF (Sapienza Università di Roma, via del Castro Laurenziano 9) si terrà il

Seminario: "The Robust Merton Problem of an Ambiguity Averse Investor"

Speaker: Sara Biagini (Dipartimento di Economia e Finanza-LUISS G. Carli)

Abstract:
We derive a closed form portfolio optimization rule for an investor who is di dent about mean return and volatility estimates, and has a CRRA utility. The novelty is that condence is here represented using ellipsoidal uncertainty sets for the drift, given a volatility realization. This specication a ords a simple and concise analysis, as the optimal portfolio allocation policy is shaped by a rescaled market Sharpe ratio, computed under the worst case volatility. The result is based on a max-min Hamilton-Jacobi-Bellman-Isaacs PDE, which extends the classical Merton problem and reverts to it for an ambiguity-neutral investor.