SMS scnews item created by Anna Aksamit at Fri 1 Oct 2021 1126
Type: Seminar
Distribution: World
Expiry: 15 Oct 2021
Calendar1: 6 Oct 2021 1400-1500
CalLoc1: zoom talk
Auth: aksamit@124-169-128-72.dyn.iinet.net.au (aaks9559) in SMS-SAML

# Stochastics and Finance: Nicolas Langrene -- Portfolio optimization with a prescribed terminal wealth distribution

Dear All,

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
October 6 at 2pm Nicolas Langrene will give a talk via Zoom.

Speaker: Dr Nicolas Langrene (CSIRO)

Title: Portfolio optimization with a prescribed terminal wealth distribution

Abstract: This paper studies a portfolio allocation problem, where the goal is to reach
a prescribed wealth distribution at a final time.  We study this problem with the tools
of optimal mass transport.  We provide a dual formulation which is solved with a
gradient descent algorithm.  This involves solving an associated
Hamiltonâ€“Jacobiâ€“Bellman and Fokkerâ€“Planck equations with a finite difference
method.  Numerical examples for various prescribed terminal distributions are given,
showing that we can successfully reach attainable targets.  We then consider adding
consumption during the investment process, to take into account distributions that are
either not attainable, or sub-optimal.  This talk is based on a paper accepted for
publication in Quantitative Finance,
https://www.tandfonline.com/doi/abs/10.1080/14697688.2021.1967432?journalCode=rquf20.
https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html

Please feel free to forward this message to anyone who might be interested in this
talk.

Kind regards, Anna


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