Kasper Larsen – personal web page
Assistant Professor
Department of Mathematical Sciences
Wean Hall, Room 7219
For detailed contact info, please see my CV.
Publications:
Satisfying convex risk limits by trading written with T. Pirvu, S. E. Shreve and R. Tutuncu. Finance & Stochastics 9, 177-195 (2005).
Optimal portfolio delegation when parties have different coefficients of risk aversion. Quantitative Finance 5, 503-512 (2005).
No arbitrage and the growth optimal portfolio written
with M. M. Christensen. Stochastic
Analysis and Applications 25,
255-280 (2007).
Stability of utility-maximization in incomplete markets written with G. Zitkovic.
Stochastic Processes and their Applications 117, 1642-1662 (2007).
On the semimartingale property
via bounded logarithmic utility written with G. Zitkovic. To appear in Annals of Finance (2006).
Continuity of utility-maximization with respect to preferences.
To appear in Mathematical
Finance (2007).