January 28, 2016
Competency (Learn more)
In standard portfolio theories such as mean-variance optimization, expected utility theory, rank dependent utility theory, Yaari's dual theory and cumulative prospect theory, the worst outcomes for optimal strategies occur when the market declines. This is at odds with the needs of many investors. Hence, in this webcast, experts depart from the traditional settings and study optimal strategies for investors who impose additional constraints on their final wealth in the states corresponding to a stressed financial market. Experts provide a framework that maintains the stylized features of the SP/A theory while dealing with the goal of security in a more flexible way. They will construct optimal strategies explicitly and show how they outperform traditional diversified strategies under worst-case scenarios.
Note: The recording available for purchase is intended for individual viewing.