*Please note a meeting password is required for this event.
Meeting ID: 433 746 420
The Department of Finance & Risk Engineering welcomes Dr. Agostino Capponi, Associate Professor at Columbia University, will present his talk on "Personalized Robo-Advising: Enhancing Investment through Client Interactions" as part of the Brooklyn Quant Experience (BQE) Lecture Series*.
Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. Their viability crucially depends on timely communication of information from the clients they serve. We introduce and develop a novel human-machine interaction framework, in which the robo-advisor solves an adaptive mean-variance control problem with the risk-return tradeoff dynamically updated based on the risk profile communicated by the client. We quantify the tradeoff between more frequent interactions, which allow the robo-advisor to construct a portfolio tailored to the client's risk profile, and less frequent communication, which mitigates the effect of behavioral biases in the client's risk profile. We show that a high frequency of interaction may have the unintended consequence of lowering the Sharpe ratio of the optimal investment strategy. (joint work with S. Olafsson and T. Zariphopoulou)
Agostino Capponi is an Associate Professor in the Department of Operations Research at Columbia University, and a member of the Data Science Institute. He also serves as a consultant at the U.S. Commodity Futures Trading Commission, Office of the Chief Economist, on topics related to clearinghouses and financial stability. Agostino's current research interests are in systemic risk, networks, market microstructure, and financial technology. Agostino’s research has been funded by NSF, DARPA, the Institute for New Economic Thinking, the Global Risk Institute, the Clearpool Group, and the OCP Group. Agostino's research has been recognized with the 2018 NSF CAREER award, the JP Morgan AI Research Faculty award, and an honorable mention from the MIT Center for Finance and the Harvard Crowd Innovation Laboratory. Agostino serves or has served on the editorial board of several journals in his field, including Management Science, Operations Research, SIAM Journal in Financial Mathematics, Mathematical Finance, Finance and Stochastics, Mathematics and Financial Economics, Stochastic Systems, and many others. Agostino serves as the chair of the SIAM Activity Group in Financial Engineering, and as the president of the INFORMS Finance Section.
*The BQE Lecture series is held every Thursday at 6 p.m.
Attendance is free and highly encouraged. When possible, slides will be made available after the talk.