Worst-case scenario portfolio optimization: a new stochastic control approach

We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular application of our setting is to model crash scenarios where both the number and the height of the crash are uncertain but bounded. Also the situation of changing market coefficients after a possible crash is analyzed

Optimal management and inflation protection for defined contribution pension plans

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling in°ation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives which are linked to inflation such as inflation linked bonds are traded on financial markets and appear to be of increasing popularity. The insurance company can use these products to hedge its own inflation risk. In this article we study how to optimally manage a pension fund taking positions in a money market account, a stock and an inflation linked bond, while financing investments through a continuous stochastic income stream such as the plan member's contributions. We use the martingale method in order to compute an analytic expression for the optimal strategy and express it in terms of observable market variables.Pension mathematics; in°ation; long-term investment; stochastic optimal control; martingale method

Report on the 1st scientific meeting of the "Verein zur Förderung des Wissenschaftlichen Nachwuchses in der Neurologie" (NEUROWIND e.V.) held in Mittenwalde/Motzen, Germany, Oct. 30th - Nov. 1st, 2009

Report on the 1st scientific meeting of the "Verein zur Forderung des Wissenschaftlichen Nachwuchses in der Neurologie" (NEUROWIND e.V.) held in Mittenwalde/Motzen, Germany, Oct. 30th - Nov. 1st, 2009 A scientific meeting repor

Report on the 3'rd scientific meeting of the "Verein zur Förderung des Wissenschaftlichen Nachwuchses in der Neurologie" (NEUROWIND e.V.) held in Motzen, Germany, Nov. 4'th - Nov. 6'th, 2011

From November 4th- 6th 2011, the 3rd NEUROWIND e.V. meeting was held in Motzen, Brandenburg, Germany. Like in the previous years, the meeting provided an excellent platform for scientific exchange and the presentation of innovative projects for young colleagues in the fields of neurovascular research, neuroinflammation and neurodegeneration. As kick-off to the scientific sessions, Reinhard Hohlfeld, Head of the Institute for Clinical Neuroimmunology in Munich, gave an illustrious overview on the many fascinations of neuroimmunologic research. A particular highlight on the second day of the meeting was the award of the 1’st NEUROWIND e.V. prize for young academics in the field of experimental neurology. This award is posted for young colleagues under the age of 35 with a significant achievement in the field of neurovascular research, neuroinflammation or neurodegeneration and comprises an amount of 20.000 Euro, founded by Merck Serono GmbH, Darmstadt. Germany. The first prize was awarded to Ivana Nikic from Martin Kerschensteiner’s group in Munich for her brilliant work on a reversible form of axon damage in experimental autoimmune encephalomyelitis and multiple sclerosis, published in Nature Medicine in 2011. This first prize award ceremony was a great incentive for the next call for proposals now upcoming in 2012