5th Ladyzhenskaya Lecture Leipzig

Thaleia Zariphopoulou

(University of Oxford, Mathematical Institute and Oxford-Man Institute of Quantitative Finance)

Stochastic partial differential equations and portfolio choice

April 28th 2010, 4.15 p.m., Felix Klein auditorium, Mathematical Institute, Johannisgasse 26, 04103 Leipzig

Coffee at 3.45 p.m. in room I-40

Poster

ABSTRACT: A new approach to portfolio management will be introduced. Complementing the traditional one, which is based on terminal time criteria, this approach yields investment processes across all times and offers flexibility to address important questions in portfolio management like, among others, investment choice for different benchmarks, market views and time horizons. The investment performance process solves a stochastic partial differential equation. One of the novel elements in this new approach is the performance volatility process. The class of admissible volatilities will be discussed. Results on the solutions of the performance SPDE and the form of optimal investment policies will be presented.

Organisators: Top-Level Research Area Mathematical Sciences of the University Leipzig and Max-Planck-Institute for Mathematics in the Sciences

Professor Thaleia Zariphopoulou is an outstanding researcher in the area of financial mathematics, specialised in quantitative finance, portfolio management and stochastic optimisation. Last year she became the first holder of the Man Professorship of Quantitative Finance at the University of Oxford. She sits on the editorial board of five academic journals in financial mathematics and quantitative finance.

More about she here