Please note: this event was previously with Dr. Kimberly Weston, Associate Professor at Rutgers University.  Please find the updated details below.

Dear All,

You are cordially invited to the Brooklyn Quant Experience Lecture Series (BQE) on Thursday, March 5th at 6 p.m. in the NYU Tandon Bern Dibner Library at 5 MetroTech Center, 4th Floor – LC 400, in Downtown Brooklyn.

Dr. Stephan Sturm will present a talk on the following topic:

Title:

Portfolio Selection using the Distribution Builder

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.

We look forward to having you join us for the talk and refreshments.

Click on link below for the full spring BQE Lecture Series:
https://engineering.nyu.edu/academics/departments/finance-and-risk-engineering/upcoming-events