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Probability and Computational Finance Seminar
Johannes Muhle-Karbe
ETH - Zurich
Title: Sensitivity of Optimal Consumption Streams

Abstract: We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment. A key role is played by the indirect risk-tolerance process, which also features prominently in the asymptotic analysis of utility-based prices and hedging strategies (Kramkov and Sirbu, 2006, 2007) and optimal investment/consumption problems with transaction costs (Kallsen and Muhle-Karbe, 2013).

(Joint work in progress with Martin Herdegen)

Date: Monday, February 9, 2015
Time: 4:30 pm
Location: Wean Hall 6423
Submitted by:  Scott Robertson