Kasper Larsen, Assistant Professor, Department of Mathematical Sciences, CMU.

For detailed contact info, please see my CV.

Publications:

Continuous equilibria with heterogeneous preferences and unspanned endowments.

Submitted

Bond and Stock Market Equilibrium with Heterogeneous Agents Receiving Unspanned Income written with P. O. Christensen and C. Munk.

Submitted

A note on the existence of the power investor's optimizer.

Forthcoming in Finance & Stochastics (2009).

Continuity of utility-maximization with respect to preferences.

Mathematical Finance 19, 237-250 (2009).

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.

Annals of Finance 4, 255-268 (2007).

No arbitrage and the growth optimal portfolio written with M. M. Christensen.

Stochastic Analysis and Applications 25, 255-280 (2007).

Optimal portfolio delegation when parties have different coefficients of risk aversion.

Quantitative Finance 5, 503-512 (2005).

Satisfying convex risk limits by trading written with T. Pirvu, S. E. Shreve and R. Tutuncu.

Finance & Stochastics 9, 177-195 (2005).