[grads] [Sem-coll] Lecture by Thaleia Zariphopoulou
igor at math.iit.edu
Sun Nov 8 14:22:12 CST 2009
You are kindly invited to the lecture by Prof. Thaleia Zariphopoulou, that will take place on Monday, 11/09/09, on the main campus of the Illinois Institute of Technology.
The lecture will start at 4:40 pm in the Engineering 1 building, room E1-106.
Title: A new approach to investment performance measurement
Abstract: A new method for measuring the performance of investment policies will be introduced. Optimality of investment strategies will be associated with a stochastic partial differential equation (spde). The novel concept of performance volatility, as the driver to this spde, will be presented. Examples of performance volatility processes modeling different numeraires, benchmarks and market views, will be presented.
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