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).