Prof. Karatzas (Columbia) will give a public lecture on on Dec 17 (Monday)
at the Institute for Advanced Studies, Vienna from 4 - 5:30 p.m. HS. 2
The title and abstract are listed below.
Regards
Gabe Lee
"Probabilistic Aspects of Portfolio
Analysis"
Abstract
We formulate and discuss notions such as growth rate, diversity, and
arbitrage, that arise naturally in the study and analysis of portfolios.
Relations among these notions are discussed, including examples of diverse
markets that lead to arbitrage opportunities; some optimization problems are
posed and solved; and a couple of open questions are suggested. (Joint work
with Robert Fernholz.)
______________________________________________________________
Gabriel S. LEE
Institute for Advanced Studies
Department of Economics and Finance
Stumpergasse 56
A-1060 Vienna, AUSTRIA
Email: gabriel.lee(a)ihs.ac.at
Tel: +43.1.59991.141
Fax: +43.1.597.0635
Homepage:
http://www.ihs.ac.at/~lee/