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SUMMARY:A characterization of forward utility functions - Mike Tehranchi (
 Cambridge)
DTSTART:20080122T140000Z
DTEND:20080122T150000Z
UID:TALK10345@talks.cam.ac.uk
CONTACT:Norros I.
DESCRIPTION:Recently\, a notion of dynamically consistent utility function
 s has appeared in the mathematical finance literature\, under the name for
 ward dynamic utility functions in the work of Musiela and Zariphopoulou an
 d as horizon-unbiased utility functions in that of Henderson and Hobson. W
 orking in a fairly general (possibly incomplete) market with continuous as
 set prices\, we present representations of all forward utility functions i
 n terms of their convex conjugate functions. This is joint work with Chris
  Rogers and Francois Berrier. \n\n
LOCATION:MR12\, CMS\, Wilberforce Road\, Cambridge\, CB3 0WB
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