3:00 p.m., Friday (February 6th)
Math Annex 1100
Carnegie Mellon University
Maximizing utility in financial markets
One of the simplest, and yet most accepted theories of decision making
under uncertainty is that of utility maximization. When the
uncertainty faced stems from unpredictable movements of financial
markets, the mathematics of this theory presents us with a host of
interesting problems. Two Nobel prizes after their conception, these
problems still puzzle mathematicians and economists. In this talk we
present a short survey of the history, and an overview of some present
developments in this field.
Refreshments will be served at 2:45 p.m. in the Faculty Lounge,
Math Annex (Room 1115).