Two-day workshop on Optimization and equilibrium in financial and energy markets

Two-day workshop on Optimization and equilibrium in financial and energy markets

Program

Thursday 21

11:00-11:45 D. Possamaï
Dynamic programming approach to principal-agent problems

2:30-3:15 R.T. Rockafellar
General economic equilibrium with financial markets and retainability

3:15-4:00 F. Silva
Sensitivity analysis for expected utility maximization in incomplete brownian market models

4:00-4:30 BREAK

4:30-5:15 M. de Lara
How much is information worth? An instrumental approach

5:15-6:00 B. K. Pagnoncelli
An investment strategy for pension funds

Friday 22

9:00-9:45 N. Hernández
Contributions to the Principal-Agent theory

9:45-10:15 Break

10:15-11:00 P. Carpentier
Dual approximate dynamic programming for large scale hydro valley

Date: Jan 21, 2016
Date of closure: Jan 22, 2016
Venue: Center for Mathematical Modeling, John von Neumann seminar room. Beauchef 851, North Building, 7th floor. Santiago

Posted on Jan 20, 2016 in Events, Workshops & Congresses