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<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Inoltro avviso
di Seminario a me pervenuto.</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Cordiali
saluti</EM></FONT></DIV>
<DIV><FONT face="Bitstream Vera Serif" color=#000080 size=2><EM>Liviana
Paoletti</EM></FONT></DIV></FONT></DIV></FONT></DIV>
<DIV style="FONT: 10pt arial">----- Original Message -----
<DIV style="BACKGROUND: #e4e4e4; font-color: black"><B>From:</B> <A
title=michele.verde@sns.it href="mailto:michele.verde@sns.it">Michele VERDE -
Scuola Normale Superiore di Pisa</A> </DIV>
<DIV> </DIV>
<DIV><B>Sent:</B> Thursday, March 31, 2011 5:52 PM</DIV>
<DIV><B>Subject:</B> Seminario di Finanza Quantitativa, dr. Marko Hans WEBER
(05.04.11)</DIV></DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><STRONG><U><SPAN
style="FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'">NO FREE LUNCH
SEMINAR</SPAN><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 18pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><o:p></o:p></SPAN></U></STRONG></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-WEIGHT: normal; FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; TEXT-DECORATION: none; text-underline: none; mso-bidi-font-weight: bold"><U>Seminari
di Finanza Quantitativa<o:p></o:p></U></SPAN></P>
<P class=MsoTitle style="MARGIN: 0cm 0cm 0pt" align=center><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"><STRONG><U></U></STRONG></SPAN></o:p></SPAN></P>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN> </H2>
<H2 style="MARGIN: 0cm 0cm 0pt 9pt" align=center><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">martedì 5
aprile 2011</SPAN><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></H2>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">ore <SPAN
style="mso-no-proof: yes">13.00</SPAN><o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><U><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Scuola Normale
Superiore<o:p></o:p></SPAN></U></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Pisa<o:p></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt 9pt; LINE-HEIGHT: 18pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">(Aula <SPAN
style="mso-no-proof: yes">Bianchi</SPAN>)<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><B><U><SPAN
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p><SPAN
style="TEXT-DECORATION: none"></SPAN></o:p></SPAN></U></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes"></SPAN></I></B> </P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Marko
Hans WEBER<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes">Scuola
Normale Superiore di Pisa</SPAN></I><I style="mso-bidi-font-style: normal"><SPAN
style="FONT-SIZE: 11pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><SPAN style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center; tab-stops: 324.0pt"
align=center><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Terrà un
seminario dal titolo:<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; tab-stops: 324.0pt"><SPAN
style="FONT-FAMILY: 'Times New Roman','serif'"><o:p><FONT
size=3> </FONT></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">“On
portfolio optimization in markets with frictions”<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: center"
align=center><B style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 22pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US">Abstract<o:p></o:p></SPAN></I></B></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></P>
<P class=MsoNormal
style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify; mso-layout-grid-align: none"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-no-proof: yes; mso-ansi-language: EN-US">The
classic portfolio optimization problem was solved by Robert Merton in 1969 in
his paper "Lifetime portfolio selection under uncertainty: the continuous time
case". In an economy formed by two assets, a risk-free bond and a stock, which
has standard Black-Scholes dynamics, he finds explicitly the optimal trading
strategy for an agent with constant relative risk aversion. The mainstream
literature assumes a frictionless market, but ignoring transaction costs and
liquidity may seriously affect the reliability of a financial model. The
objective of the talk is to give a review on the effects of introducing
proportional transaction costs. Indeed, the results by Merton are no longer
valid in this framework. We also want to approach the issue of liquidity, which
has been studied just marginally in the literature, and then compare the impact
that both kind of frictions have.<o:p></o:p></SPAN></I></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><B
style="mso-bidi-font-weight: normal"><I
style="mso-bidi-font-style: normal"><SPAN lang=EN-US
style="FONT-SIZE: 10pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: EN-US"><o:p> </o:p></SPAN></I></B></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'">Tutti gli
interessati sono invitati a partecipare.<o:p></o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoNormal style="MARGIN: 0cm 0cm 0pt; TEXT-ALIGN: justify"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'"><o:p> </o:p></SPAN></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><SPAN
style="mso-tab-count: 2">
</SPAN></SPAN><FONT face="Times New Roman"><SPAN
style="mso-ansi-language: IT"><SPAN style="mso-tab-count: 2"><FONT
size=3>
</FONT></SPAN></SPAN><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT">Classe
di Scienze<o:p></o:p></SPAN></FONT></P>
<P class=MsoBodyText style="MARGIN: 0cm 0cm 0pt; tab-stops: 9.0cm"><SPAN
style="FONT-SIZE: 16pt; FONT-FAMILY: 'Times New Roman','serif'; mso-ansi-language: IT"><o:p> </o:p></SPAN></P></FONT></DIV>
<DIV><FONT face=Arial size=2>- - - - -<BR>Michele VERDE<BR>Scuola Normale
Superiore<BR>Servizio Supporto Attività Didattiche - Scienze<BR>Piazza Dei
Cavalieri, 7<BR>I - 56126 Pisa</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Tel. 050-509048<BR>Fax. 050-509045<BR>E-Mail: <A
href="mailto:michele.verde@sns.it">michele.verde@sns.it</A><BR>E-Mail: <A
href="mailto:segreteria.scienze@sns.it">segreteria.scienze@sns.it</A><BR>- - - -
-</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=Arial size=2>Le informazioni contenute nella presente e-mail e
nei relativi allegati possono essere riservate e sono, comunque, destinate
esclusivamente al destinatario in indirizzo.<BR>E’ vietata, pertanto, la
diffusione, distribuzione e/o copiatura di tali informazioni da parte di
qualsiasi soggetto diverso dal destinatario. <BR>Chiunque abbia ricevuto o letto
questa e-mail per errore o senza esserne legittimato è invitato a darne
immediatamente notizia al mittente tramite fax o e-mail e a
distruggerla.<BR>Grazie.<BR></FONT></DIV></BODY></HTML>