Mathematical Finance Seminar

November 29, 2001 , 5:30 PM to 7:00 PM

Ioannis Karatzas, Columbia University

Probabilistic Aspects of Portfolio Analysis

We formulate and discuss notions such as growth rate, diversity, and arbitrage, that arise naturally in the study and analysis of portfolios. Relations among these notions are discussed, including examples of diverse markets that lead to arbitrage opportunities; some optimization problems are posed and solved; and a couple of open questions are suggested. This is joint work with R. Fernholz (Intech).