MS-Th-E-53
Stochastic modelling, control and optimization in finance II

Date: August 13
Time: 16:00--18:00
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Li, Lingfei (The Chinese Univ. of Hong Kong)
Chen, Nan (The Chinese Univ. of Hong Kong)

Abstract: This minisymposium will explore applications of stochastic control to utility maximization problems, including new developments motivated by models from behavioral finance and risk measures


MS-Th-E-53-1
16:00--16:30
Asymptotic Methods for Portfolio Optimization Problems
Hu, Ruimeng (Univ. of California, Santa Barbara)
Fouque, Jean-Pierre (Univ. of California, Santa Barbara)


MS-Th-E-53-2
16:30--17:00
Empirical Pricing Kernel: A Revisit
Xie, Jinming (The Chinese Univ. of Hong Kong)
Li, Duan (The Chinese Univ. of Hong Kong)


MS-Th-E-53-3
17:00--17:30
The Ross recovery theorem and log optimal portfolio
Wang, Yiwei (The Chinese Univ. of Hong Kong)
Chen, Nan (The Chinese Univ. of Hong Kong)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA