Kasper Larsen – personal web page

Assistant Professor

Department of Mathematical Sciences
Wean Hall, Room 7219

Carnegie Mellon University
Pittsburgh, PA 15213-3890

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).