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Probability and Computational Finance Seminar
Kasper Larsen
Carnegie Melllon University
Title: Dual face-lifting for the case of unspanned random endowment

Abstract: We will study the relation between optimizing over finite additive and countable additive probability measures. Standard arguments show that the optimizer is always attained in the finite additive class. We will discuss how to adjust the objective to obtain an optimizer in the set of countable measures.

Date: Monday, February 28, 2011
Time: 5:30 pm
Location: Wean Hall 6423
Submitted by:  Kasper Larsen