Name: (NY) - Ronnie Sircar - Stochastic & Implied Sharpe Ratio
Start: 2018-02-22T17:45:00-05:00
End: 2018-02-22T20:30:00-05:00
Location: NYU Kimmel Center, Room 905

Stochastic & Implied Sharpe Ratio

Ronnie Sircar

Seminar Program

5:45pm Registration
6:00pm Seminar
7:30pm Reception

Abstract

Portfolio optimization in an uncertain market environment can be modeled via a stochastic Sharpe ratio process, where the uncertainty may arise from the drift or volatility, or both, of the risky asset. The impact of the uncertainty can be approximately characterized through the concept of implied Sharpe ratio, analogous to the much-studied implied volatility in option pricing. We show how this can be used to produce adjustments to the Merton optimal investment strategy that account for principal features of the stochastic market environment, and how the implied volatility skew can be used to infer parameters for this strategy.

Biography

RONNIE SIRCAR is a Professor of Operations Research and Financial Engineering at Princeton University, and is affiliated with the Bendheim Center for Finance, the Program in Applied and Computational Mathematics and the Andlinger Center for Energy and the Environment. He received his doctorate from Stanford University, and taught for three years at the University of Michigan in the Department of Mathematics. He has received continuing National Science Foundation research grants since 1998. He was a recipient of the E-Council Excellence in Teaching Award for his teaching in 2002, 2005 and 2006, and the Howard B. Wentz Jr. Junior Faculty Award in 2003. His research interests center on Financial Mathematics, stochastic volatility models, energy markets and exhaustible resources, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, and stochastic differential games. He is a co-author of the book "Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives", published by Cambridge University Press in 2011, and was founding co-editor-in-chief of the SIAM Journal on Financial Mathematics, from 2009-2015.

Disclaimer

This a joint IAQF/Thalesians seminar, and not an instructional program of New York University.

Harvey Stein

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(NY) - Ronnie Sircar - Stochastic & Implied Sharpe Ratio

NYU Kimmel Center, Room 905

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