Portfolio Selection
Using The Distribution Builder
A Talk by
Monday, February 3, 2020
5:45 PM Registration
6:00 PM Seminar Begins 7:30 PM Reception
Abstract
Portfolio optimization subject to personal preferences of an economic agent is a mainstay in financial mathematics. The common way this problem is set up is via a utility function representing the agent's preferences. This supposes in practice that agents behave rationally as well as that there is a practical and tangible way to determine their utility function. An alternative approach, known as Distribution Builder, has been proposed by Goldstein, Sharpe and Blythe: investors should determine directly the distribution of the terminal payoff given their budget constraint. In this talk we first review the concept of the distribution builder and the mathematical model behind it, and then propose extensions to optimization of intertemporal consumption and in incomplete markets. This is based on ongoing joint work with Carole Bernard and Mauricio Elizalde Mejía.
Biography
Stephan Sturm is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts and currently on sabbatical at at the Chinese University of Hong Kong and NYU. After obtaining his PhD in Mathematics from TU Berlin (Germany), he became a Postdoctoral Research Associate and Lecturer at the Department of Operations Research and Financial Engineering at Princeton University before joining WPI as faculty member. Sturm's research covers mainly different areas of financial mathematics, but he is interested in stochastic modeling in general, such as applications to climate science. In finance, his work is devoted in particular in questions of value adjustments for derivative securities (XVAs), optimal portfolio selection and systemic risk in financial markets.
Acknowledgments
Special thanks to the Fordham University Gabelli School of Business for hosting and sponsoring the seminar.
About the Series
The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.
