Next Talk

Speaker: Petter Kolm
Title: Multi-period Portfolio Selection and Bayesian Dynamic Models
Date and time: December 2, 1:00 p.m. (light refreshments at 12:45 p.m.)
Venue: WWH 1302


We describe a novel approach to the study of multi-period portfolio selection problems with time varying alphas, trading costs, and constraints. We show that, to each multi-period portfolio optimization problem, one may associate a “dual” Bayesian dynamic model. The dual model is constructed so that the most likely sequence of hidden states is the trading path which optimizes expected utility of the portfolio. The existence of such a model has numerous implications, both theoretical and computational. Sophisticated computational tools developed for Bayesian state estimation can be brought to bear on the problem, and the intuitive theoretical structure attained by recasting the problem as a hidden state estimation problem allows for easy generalization to other problems in finance. Time permitting, we discuss several applications to this approach. This is joint work with Gordon Ritter.

About this seminar

This seminar is meant to benefit young mathematicians, particularly graduate students and postdocs.
It aims to accomplish the following: The research talks should be fairly introductory and accessible to students and non-specialists in the audience.

Schedule Fall 2016

October 7

Speaker: Carlos Fernandez-Granda
Title:From Seismology to Compressed Sensing and Back, a Brief History of Optimization-Based Signal Processing

October 28

Speaker: John Rinzel
Title:Bistable Dynamics of Perceiving Ambiguous Stimuli

November 4

Speaker: Scott Armstrong
Title:Stochastic homogenization of elliptic equations

November 18

Speaker: Nan Chen
Title:Predicting the cloud patterns of the Madden-Julian Oscillation through a low-order nonlinear stochastic model

December 2

Speaker: Petter Kolm
Title:Multi-period Portfolio Selection and Bayesian Dynamic Models

Contact Info

If you would like to give a talk or ask a question about the seminar, please contact one of the seminar organizers:

Alexisz Gaalgaal [at] cims [dot] nyu [dot] edu
Reza Gheissarireza [at] cims [dot] nyu [dot] edu

Previous semesters

Spring 2016 schedule

Fall 2015 schedule

Spring 2015 schedule

Fall 2014 schedule

Spring 2014 schedule

Fall 2013 schedule

Spring 2013 schedule

Fall 2012 schedule

Spring 2013 schedule

Fall 2011 schedule

Spring 2011 schedule

Descriptions of earlier talks are here.

Department of Mathematics
Courant Institute of Mathematical Sciences
New York University
251 Mercer St.
New York, NY 10012