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Probability and Computational Finance Seminar
Kasper Larsen
Carnegie Melllon University
Title: Face-lifting, part II

Abstract: In this talk we will derive the terminal condition for the value function corresponding to the problem of maximizing expected utility from terminal wealth plus random endowment. This answers the question raised in the previous talk given in the Spring semester. Joint work with Gordan Zikovic.

Date: Monday, October 17, 2011
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Kasper Larsen