Si avvisa che in data 5/3/2019, alle ore 12:30 precise, presso Aula Seminari al Terzo Piano, si svolgerà il seguente seminario:

Titolo: The Value of Informational Arbitrage
Relatore: Claudio Fontana, Università degli Studi di Padova

Abstract:
In the context of a general semimartingale model, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value exists, we call it the value of informational arbitrage. In particular, we are interested in the case where the inside information yields arbitrage opportunities but not unbounded profits with bounded risk. In the spirit of Amendinger et al. (2003), we provide a general answer to this question by means of an indifference valuation approach. To this effect, we establish some new results on models with additional information and study optimal investment-consumption problems in the presence of additional information and arbitrage, also allowing for the possibility of leverage. We characterize when the value of informational arbitrage is universal, in the sense that it does not depend on the preference structure. This talk is based on joint work with H.N. Chau and A. Cosso.

Il Politecnico di Milano, in collaborazione con il Fintech District, ha lanciato il primo Fintech Talent Day, una competizione studentesca, aperta a studenti di Ingegneria Matematica, Gestionale ed Informatica, sul tema Fintech.
40 studenti hanno partecipato all’iniziativa: divisi in gruppi, ciascuno associato ad una Fintech, sono stati chiamati a risolvere un business game.
Alla fine è risultato vincitore il team che ha collaborato con Walliance, composto da 4 Ingegneri Matematici ed 1 Ingegnere Gestionale.

https://www.fintechdistrict.com/talent-day-real-estate/

https://www.fintechdistrict.com/talent-day-politecnico-of-milan

Continua la diffusione della nostra Caccia al Tesoro Finanziaria: questa volta siamo stati all’Istituto Fusinato di Padova!

Qfinlab aims to be active in improving the financial literacy in the Italian schools: look at the EDUFIN@POLIMI project.

Si avvisa che in data 8/1/2019, alle ore 16:30 precise, presso l’Aula Seminari del III piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Marina Santacroce, Politecnico di Torino
Expected utility maximization beyond the Markovian setting

Abstract:
An overview of the recent approaches used to solve portfolio optimization problems for general market models is given.
In particular, the focus will be on dynamic programming techniques and on their applicability to expected utility maximization in non-Markovian settings for classical utilities (power, exponential or log type), including the case of partial information. Moreover, another method which works for general utilities is presented and compared to recent results obtained by dynamic programming.

This talk is based on joint works with M. Mania, R. Tevzadze and B. Trivellato.