Maximizing utility in financial markets

One of the simplest, and yet most accepted theories of decision making under uncertainty is that of utility maximization. When the uncertainty faced stems from unpredictable movements of financial markets, the mathematics of this theory presents us with a host of interesting problems. Two Nobel prizes after their conception, these problems still puzzle mathematicians and economists. In this talk we present a short survey of the history, and an overview of some present developments in this field.

Refreshments will be served at 2:45 p.m. in the Faculty Lounge, Math Annex (Room 1115).