Events

Brooklyn Quant Experience Lecture Series: Stephan Sturm

Academic,
Free Food,
Seminar / Lecture
 
Open to the Public

The Department of Finance & Risk Engineering welcomes Dr. Stephan Sturm to present a talk on "Portfolio Selection using the Distribution Builder" as part of the Brooklyn Quant Experience (BQE) Lecture Series*.

 

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.

Bio

Stephan Sturm is Associate Professor of Mathematical Sciences at Worcester Polytechnic Institute (WPI) in Massachusetts and currently spends his sabbatical 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.

Attendance is free and highly encouraged. When possible, slides will be made available after the talk.
Refreshments will be served.