Probability at King's

Probability Seminar at King's

The Probability Seminar at King's is dedicated to presenting the latest advances in Pure and Applied Probability. If only a room number is given for a talk, then it is taking place in King's College London, Strand Campus.

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Forthcoming Past

March 2020

30/03/2020 - Martin Herdegen (University of Warwick)
A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
We revisit portfolio selection in a one-period financial market under a coherent risk measure constraint, the most prominent example being Expected Shortfall (ES). Unlike in the case of classical mean-variance portfolio selection, it can happen that no efficient portfolios exist. We call this situation regulatory arbitrage. We show that the presence or absence of regulatory arbitrage is intimately linked to the interplay between the set of equivalent martingale measures (EMMs) for the discounted risky assets and the set of absolutely continuous measures in the dual characterisation of the risk measure. In the special case of ES, our results show that the market does not admit regulatory arbitrage for ES at confidence level $\alpha$ if and only if there exists an EMM $Q \approx P$ such that $\Vert \frac{dQ}{dP} \Vert_\infty < \frac{1}{\alpha}$. The talk is based on joint work with my PhD student Nazem Khan.

April 2020

06/04/2020 - Alessandro Gnoatto TBC