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SUMMARY:Stability of Utility Maximization in Nonequivalent Markets
DTSTART:20151001T120000
DTEND:20151001T130000
DTSTAMP:20260510T135137Z
UID:6e279640364eda3baa6526e9ee99e28082ac254683200e6a6d95a7bf
CATEGORIES:Conferences - Seminars
DESCRIPTION:Kim WESTON (PhD student at Carnegie Mellon University)\nConsid
 er a contingent claim whose underlying is not replicable yet is highly cor
 related with a traded asset.  As the correlation between the underlying a
 nd traded asset increases to 1\, do the claim's indifference prices conver
 ge to the arbitrage-free price?  In this talk\, I will first present a si
 mple counterexample in a Brownian setting with power utility where the ind
 ifference prices do not converge.  The counterexample's degeneracies are 
 alleviated for utility functions on the real line\, and a positive converg
 ence result will be presented in this case.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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