CRMR Directory

2023-03: Lack of Compactness of Budget Sets in Infinite Dimensional Commodity Spaces and Its Consequences

Konstantin Magin
2023

This paper demonstrates that the budget sets in the Contingent Markets (CM) and Financial Markets (FM) economies with infinite dimensional commodity spaces might not be norm-bounded and therefore might not be weakly (weakly*) compact. The lack of weak (weak*) compactness of these budget sets has serious implications. In particular, it is no longer guaranteed that weakly (weakly*) continuous utility functions attain their maximum on these budget sets. Thus, the individual and therefore total demand functions need not exist in CM and FM economies...

Samim Ghamami

Affiliated Researcher

Samim Ghamami is currently an economist at the U.S. Securities and Exchange Commission, the Division of Economic and Risk Analysis (DERA), a senior researcher and an adjunct professor of finance at New York University, a senior researcher at UC Berkeley Center for Risk Management Research, and a senior advisor at SOFR Academy. Ghamami also serves on the advisory board of the Mathematics in Finance Program at the NYU Courant Institute.

Ghamami has been a senior economist, a senior strategist, and a senior vice president at Goldman Sachs. He has also been an...

Lisa Goldberg

Co-Director

CDAR co-Director Lisa Goldberg is Professor of the Practice of Economics at University of California, Berkeley and Head of Research at Aperio Group, now part of BlackRock. Dr. Goldberg is a mathematician whose research integrates best practices from industry and academia. Her work has touched areas as diverse as topology, dynamical systems, quantitative finance, sports statistics and causal inference. She has published more than 50 articles and is co-author of a book, Portfolio Risk Management, which was published by Princeton University Press in 2010. Dr. Goldberg is inventor on five...

Baeho Kim

Affiliated Researcher

Baeho Kim is a Professor of Finance at Korea University Business School (KUBS). He received his Ph.D. in the department of Management Science and Engineering (MS&E) and his master's degree in the Financial Mathematics Program at Stanford University. He was a Visiting Associate Researcher of the Consortium for Data Analytics in Risk (CDAR) at UC Berkeley, and a Visiting Senior Research Fellow of Risk Management Institute (RMI) at the National University of Singapore. His research interests include measuring and managing financial risk with quantitative modeling and computational...

Kyong Shik Eom

Affiliated Researcher

Kyong Shik Eom received his Ph.D. in Finance from Lehigh University in 1998, M.S. in Finance and B.S. in Business Administration from Korea University in 1989 and 1985, respectively. Before joining the Center for Risk Management Research (CRMR), Kyong Shik was a full Professor of Finance at the University of Seoul and also was Director of the Capital Market Division at Korea Securities Research Institute (currently Korea Capital Market Institute, KCMI). He has served on several committees at Korea Exchange (KRX), and on many task forces convened by the Korea Financial Supervisory...

Stephen Bianchi

Affiliated Researcher

Stephen received his Ph.D. in the Economics department at UC Berkeley in 2014, specializing in financial economics and econometrics. He holds an M.S. in Management Science & Engineering from Stanford University as well as the Chartered Financial Analyst designation. Prior to entering the Ph.D. program, Stephen worked in the fixed income research group at MSCI Barra, where his responsibilities included term structure and credit spread curve estimation and the development of fixed income risk models for the United States and Japan. His current interests include applications of...

Ola Mahmoud

Affiliated Researcher

Ola Mahmoud is Assistant Professor of Corporate Finance at the University of Basel in Switzerland. She obtained her Ph.D. in Mathematics from the University of Cambridge in 2011, a Master of Advanced Study in Mathematics (also known as Part III of the Mathematical Tripos) from the Department of Pure Mathematics at the University of Cambridge in 2005, and a B.Sc. in Mathematics from the American University in Cairo in 2004. She was previously a postdoctoral researcher and lecturer at the University of St. Gallen (Switzerland), a Quantitative Investment Strategist at the Swiss private...

Robert Anderson

Co-Director

Robert M. Anderson is Director of the Center for Risk Management Research at UC Berkeley. He is also Professor of the Graduate School, Coleman Fung Professor Emeritus of Risk Management, and Professor Emeritus of Economics and Mathematics at UC Berkeley. He received his B.Sc. in Mathematics from the University of Toronto in 1973 and his Ph.D. from Yale University in Mathematics in 1977, under the supervision of Shizuo Kakutani. He spent a year as McMaster Fellow at McMaster University in 1977-78, and then...

Nick Gunther

Affiliated Researcher

Nicholas L. Gunther received his Ph.D. in Mathematics from Harvard in 1982 and his J.D. from Harvard Law School in 1986. Nick worked as an associate specializing in tax matters at Cleary, Gottlieb, Steen & Hamilton until 1992. From 1992 until the present, Nick has worked on the development, structuring and execution of financial products with a tax, accounting or regulatory emphasis, at AIG Financial Products, Goldman, Sachs & Co., Sosin & Co. LLC and other prominent investment banking firms. In 2005, with one of his colleagues, Nick founded GH Group LLC, a registered...

Roger M. Stein

Roger M. Stein has been actively engaged in developing, implementing and writing about new approaches to applied risk modeling and financial prediction for almost 25 years. He and his teams have developed, implemented, and delivered products and services that have become industry benchmarks in banking and finance. He has written two full-length textbooks and has had his research published in a variety of academic, scientific, and professional journals. His current research interests are in the areas of systemic risk, model risk and validation, biomedical funding, and the interface between...