Are you interested in wealth management, institutional investing, or improving decision-making under uncertainty? Economic models will never capture reality perfectly, but robust optimization offers a practical way for organisations to make better decisions despite that ambiguity. By evaluating a range of plausible scenarios—such as in robust Mean-Variance portfolio selection or hedging in incomplete markets—this approach reduces the risk of “over-optimizing” to a single, potentially flawed model. The result is more resilient, institutionally relevant strategies that perform better out-of-sample and clarify which model assumptions are most critical or most vulnerable to misspecification.
Antoon Pelsser is a Professor of Finance and Actuarial Science at Maastricht University. He also works at Rabobank as Balance Sheet Management Specialist, is a partner at Risk at Work Consultants, and is a research fellow at Netspar. His academic research interests focus on pricing models for interest rate derivatives, the pricing of insurance and pension contracts, and Asset-Liability Management (ALM) for insurance companies and pension funds. He has published in leading academic journals, including Journal of Economic Theory, Systems and Control Letters, Mathematical Finance, Finance and Stochastics, Journal of Derivatives, Insurance: Mathematics and Economics. He is an Honorary Fellow of the Institute of Actuaries.
📅 December 2nd, 6:30 p.m.
📍 Tongersestraat 53 (SBE), Room A0.24