Friday, January 15, 2010

Short and sweet

Yesterday was the shortest day of the workshop, with only three talks in the morning to allow for free time in the afternoon for interactions between participants or just plain sightseeing in Toronto.

Thaleia Zariphopoulou talked about forward utilities once more, which is just as well, because she has developed the topic so vastly that each time she presents on the subject the audience tends to learn a lot.

Michael Monoyios gave a talk on executive stock options, a subject close to my heart, and I now have many ideas for a follow-up paper extending his insider-information model to the case of a risk-averse executive.

The morning ended with Martin Schweizer explaining how the optimal wealth and the optimal portfolio arising from a utility maximization problem depend on the time horizon. The result is intuitive enough, despite the technically formidable proof, and ties well with the general theme discussed by both Thaleia and Nicole in her talks durign the workshop.

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