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Portfolio Management
A Working Group in Financial Mathematics Statistics and Econometrics

Group Leaders: Tao Pang (NC State University) and Mingxin Xu (UNC Charlotte)

 

 

Announcements

Meeting Time: Tuesdays 1:00 - 2:30pm (and sometimes on Thursday 1:30-2:30)
Location: NISS building, 2nd floor conference room


Meeting Activities

Date Topics & Readings Notes
Sept 27, Sept 29, Oct 4 2005 Articles:
  • Backward stochastics differential equations
    • N. El Karoui, S. Peng, M.C. Quenez; Backward stochastics differential equations in Finance, Mathematical Finance , Vol. 7 No. 1 (1997) ( pdf file)
    • Shige Peng; Nonlinear Expectations, Nonlinear Evaluations and Risk Measures. (pdf file)

The presentations were given by Mingxin Xu

Oct 11and Oct 13 2005
  • Backward stochastics differential equations and Risk Measure
    •
The presentation will be given by Aytac Ilhan (pdf file)
Oct 18 2005
  • Mutual Fund Portofolio Choice in thew presence of Dynamic Flows
    •
The presentation will be given by Tao Pang (pdf file)
Oct 25 2005
  • The connection between BSDE and PDE and numerical Methods to solve BSDE
The presentation will be given by Tao Pang (pdf file)
Nov 8 ,15 2005
  • The Stochastic Portfolio Theory
The presentation will be given by Jesus Rodriguez (pdf file)
Dec 1 2005
  • Market Diversity and The Distribution of Capital in Equity Markets
    •
By Adrian Banner (pdf file)

 

 

Group Members

Name Email Address Affiliation
Bertille Antoine antoineb@email.unc.edu University of North Carolina at Chapell Hill
Jose Enrique Figueroa-Lopez jfiguero@math.purdue.edu Purdue University
Jean Pierre Fouque fouque@math.ncsu.edu North Carolina State University
Fotios Harmantzis fharmant@stevens.edu Stevens Institute of Technology

John Hyde

jhyde@math.duke.edu

Duke University

Aytac Ilhan

ilhan@maths.ox.ac.uk

University of Oxford

Randy Miller

randy.j.miller@bankofamerica.com

Bank of America

Sungsoo Na

sna@ncsu.edu

North Carolina State University

Tao Pang

tpang@unity.ncsu.edu

North Carolina State University

Denis Pelletier

denis-pelletier@ncsu.edu

North Carolina State University

Moustapha Pemy

mnpemy@unity.ncsu.edu

North Carolina State University

Jesus Rodriguez

jfrodrig@ncsu.edu

North Carolina State University

Ronnie Sircar

sircar@princeton.edu

Princeton University

Sasha Stoikov

stokov@cims.nyu.edu

New york university

Mingxin Xu

mxu2@email.uncc.edu

University of North Carolina at Charlotte


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Send your comments about this site to Moustapha Pemy (mnpemy@samsi.info)