Department of Mathematical Sciences
Colloquia and Seminars
Areas of Research
About the Department
, Assistant Professor
Ph.D., University of Southern Denmark E-mail: email@example.comOffice:
Wean Hall 7219Phone:
412-268-6380Personal web site
Dr. Larsen research is in field of the mathematical finance and most of his work involves utility maximization theory in continuous time and state. He teaches for both the undergraduate BSCF program as well as the professional MSCF program.
Satisfying convex risk limits by trading written with T. Pirvu, S. E. Shreve and R. Tutuncu. Finance & Stochastics 9, 177-195 (2005).
Optimal portfolio delegation when parties have different coefficients of risk aversion. Quantitative Finance 5, 503-512 (2005).
No arbitrage and the growth optimal portfolio written with M. M. Christensen. Stochastic Analysis and Applications 25, 255-280(2007).
Stability of utility-maximization in incomplete markets written with G. Zitkovic. Stochastic Processes and their Applications 117, 1642-1662 (2007).
On the semimartingale property via bounded logarithmic utility written with G. Zitkovic. Annals of Finance 4, 255-268 (2008).
Continuity of utility-maximization with respect to preferences. Mathematical Finance 19, 237-250 (2009).
A note on the existence of the power investor's optimizer. Finance and Stochastics 15, 183-190 (2011).
Equilibrium in Securities Markets with Heterogeneous Investors and Unspanned Income Risk, joint with P. O. Christensen and C. Munk. Journal of Economic Theory 147, 1035-1063 (2012).
Horizon dependence of utility optimizers in incomplete models, joint with Hang Yu. Finance & Stochastics 6, 779-801 (2012).
Utility maximization under convex constraints, joint with G. Zitkovic. Annals of Applied Probability 23, 665–692 (2013).