[grads] [Sem-coll] Notice of Colloquium Room Change
jmillham at iit.edu
Mon Nov 9 14:50:04 CST 2009
In order to accommodate an anticipated larger-than-normal colloquium
crowd, today's colloquium will be in E1 123 instead of the regular
Monday, Nov. 9 4:40 pm E1 123
Thaleia Zariphopoulou (University of Texas at Austin)
"A New Approach to Investment Performance Measurement"
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.
Department of Applied Mathematics
Illinois Institute of Technology
Engineering-1 Room 208
10 W. 32rd St.
Chicago IL 60616
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