| 9:30 – 11:00 |
Session 1 – Chair Mihai Sîrbu |
| 9:30 |
Christa Cuchiero “Infinite-Dimensional Polynomial Processes” |
| 10:00 |
Paolo Guasoni “Options Portfolio Selection” |
| 10:30 |
Jan Kallsen “Optimal Investment in High Dimensions under Small Proportional Transaction Costs” |
| 11:00 – 11:30 |
Coffee break |
| 11:30 – 1:00 |
Session 2 – Chair Paolo Guasoni |
| 11:30 |
Martin Larsson “Short- and Long-Term Relative Arbitrage in Stochastic Portfolio Theory” |
| 12:00 |
Johannes Muhle-Karbe “Equilibrium Asset Pricing with Transaction Costs” |
| 12:30 |
Sergio Pulido “Stochastic Volterra Equations” |
| 1:00 – 2:30 |
Lunch |
| 2:30 – 4:00 |
Session 3 – Chair Jan Kallsen |
| 2:30 |
Scott Robertson “Equilibria with Asymmetric Information” |
| 3:00 |
Mihai Sîrbu “Sensitivity Analysis of the Utility Maximization Problem With Respect to Model Perturbations” |
| 3:30 |
Hao Xing “Infinite Horizon Epstein-Zin Utility” |
| 6:00 – 8:30 |
Dinner at Blue Oak Restaurant |