Event Date:
Wednesday, May 20, 2009 - 3:15pm
Event Date Details:
Refreshments served at 3:00 PM
Event Location:
- South Hall 5607F
Prof. Marco Frittelli (University of Milano, Italy)
Title: Conditional certainty equivalent and representation of risk measures
Abstract: In the framework of dynamic indifference pricing, we study the conditional version of the classical notion of the certainty equivalent. This concept leads to the investigation of quasi convex maps and their dual representation.
May 5, 2015 - 2:20pm