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.)

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Gabriel S. LEE Institute for Advanced Studies Department of Economics and Finance Stumpergasse 56 A-1060 Vienna, AUSTRIA Email: gabriel.lee@ihs.ac.at Tel: +43.1.59991.141 Fax: +43.1.597.0635 Homepage: http://www.ihs.ac.at/~lee/