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Asset Pricing - Portfolio Selection & Stochastic Differential Utility

Frontiers of Finance is being sponsored by BH-DG Systematic Trading

 Speakers

Larry Epstein, Boston University

Paper Title: "Ambiguous volatility, possibility and utility in continuous time"

Larry G. Epstein is professor of economics at Boston University. His current research interests include mathematical economics, decision theory and asset pricing, in particular the impact of uncertainty on asset prices in equilibrium models. He has published a number of articles in journals such as Econometrica, American Economic Review, Journal of Political Economy, Review of Economic Studies, Journal of Economic Theory, International Economic Review, Journal of Finance, Games and Economic Behavior among others. He is the co-author of several books. Professor Epstein has served as associate editor for Econometrica, Journal of Economic Theory, Economic Theory, Journal of Risk and Uncertainty, Macroeconomic Dynamics, among others.

 Epstein

Suleyman Basak, LBS

Paper Title: "Strategic Asset Allocation in Money Management"

Dr. Basak is the Class of 2008 Term Chair Professor of Finance at London Business School. His main research interests are in the areas of theoretical asset pricing, risk management, market imperfections, international finance and financial innovation. His work has addressed issues related to portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage, incentive problems plaguing institutional asset management, and mispricing, arbitrageurs and monopoly power in financial markets.

Basak

Mark Schroder, MSU

 

Paper Title: "Optimal Contracting and Nash Equilibria in the Continuous-Time Principal-Agent Problem with Multiple Principals"

Mark Schroder is a professor of finance in the Broad College of Business, Michigan State University. He has a Ph.D. in Finance from Northwestern University. His research interests are optimal portfolio-consumption choice, derivatives pricing, and optimal dynamic contracting.

 Schroder

Andrea Vedolin, LSE

Paper Title: "Short-Run Bond Risk Premia"

Andrea Vedolin is a lecturer in Finance at the London School of Economics. Her current research interests include theoretical and empirical asset pricing. Her research agenda focuses on understanding the impact of uncertainty on asset prices in equilibrium models.

 Vedolin

Eberhard Mayerhofer, Vienna Institute of Finance

Paper Title: "Recursive Utility: Motivation, Basics and Approaches in Continuous Time"

Eberhard Mayerhofer is a mathematician working on stochastic processes and their applications in finance. His current field of research is the theory of affine Markov processes. Particularly, he focuses on multivariate aspects of Fourierpricing and parameter estimation involving affine models. Personal website with CV and publication list are available at http://www.vif.ac.at/mayerhofer .

 Mayerhofer

Bjorn Eraker, Wisconsin School of Business

Paper Title: "Dynamic Present Values and the Intertemporal CAPM"

Bjorn Eraker is an Associate Professor of Finance from the Wisconsin School of Business. He has a Ph.D. in Economics from the University of Chicago. His main research interests include empirical asset pricing, equilibrium models of financial markets, and econometric methods for estimation of continuous and discrete time models of asset prices.

 B.Eraker

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To register for Asset Pricing - Portfolio Selection & Stochastic Differential Utility Workshop on 6th July 2011, please click HERE

Please note accommodation booking has now closed, contact conferences@warwick.ac.uk directly.