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evenements:seminaireproba-math-fi [2019/04/01 08:09]
Valérie Picot
evenements:seminaireproba-math-fi [2019/04/08 20:03]
Valérie Picot
Line 8: Line 8:
 **__Exposés de l'​année 2019__ :** **__Exposés de l'​année 2019__ :**
  
 +**11 avril à 14h00 :** <color #088A85> Caroline Hillairet </​color> ​ (ENSAE) //  Aggregation of  heterogeneous ​ consistent progressive utilities//
 +++ Voir résumé |  \\We aim  to describe globally the behavior and preferences of heterogeneous agents. Our starting point is the aggregate wealth of a given economy, with a given repartition of the wealth among investors, which is not necessarily Pareto optimal. We propose a construction of an aggregate forward utility, market consistent,​that aggregates the marginal utility of the heterogeneous agents. This construction is based on the aggregation of the pricing kernels of each investor. As an application we analyze the impact of the heterogeneity and of the wealth market on the yield curve.
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 +Joint work with Nicole El Karoui et Mohamed Mrad.
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 **4 avril à 14h00 :** <color #088A85> Xiaolu Tan </​color> ​ (Université Paris-Dauphine) //  From Martingale Optimal Transport to McKean-Vlasov Control Problems// **4 avril à 14h00 :** <color #088A85> Xiaolu Tan </​color> ​ (Université Paris-Dauphine) //  From Martingale Optimal Transport to McKean-Vlasov Control Problems//
evenements/seminaireproba-math-fi.txt · Last modified: 2020/04/06 11:36 by Valérie Picot

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