First of all, we would like to wish you all a happy new year 2012!

Besides, this is just a quick and gentle reminder for our seminar next week:

On Tuesday, January 10, 3pm (moved by one week), the HIPERFIT seminar in Mødelokale A/B at DIKU will feature two talks by faculty members of HIPERFIT. Meanwhile, abstracts are available (also in the calendar), and here they come:

  • Christian Andreetta, new post-doctoral researcher in the DSL strand of HIPERFIT: On Bayesian Networks.

    We will give a short overview of Monte Carlo strategies, probability calculus and directed graphical models like Dynamic Bayesian Networks. Examples of applications will be the use of mixture models to represent financial market data, and Markov Fields to propose a quick and general solution to the drunken sailor problem.

  • Mogens Steffensen, research area manager for the mathematical finance strand of HIPERFIT: Dynamic Consumption-Investment Decisions.

    We review the classical consumption-portfolio choice problem by Merton and discuss the complications in connection with generalizations like uncertain lifetime, labor income, and a stochastic opportunity set. We discuss the assumption of time-additive utility and generalizations to recursive utility. This is related to the notion of consistency which we review in that context and in the context of mean variance optimization.

We hope to see you in the seminar next Tuesday!

Best regards from HIPERFIT


05 January 2012