On 3rd February, GIFP was invited to join in a speech held together by IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The speaker of this speech is Stephan Sturm, the associate professor of mathematical sciences at worcester polytechnic Institute (WPI) in Massachusetts. The topic is Portfolio Selection Using The Distribution Builder.
Professor Sturm believes 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. He mentioned another alternative approach, which has been proposed by Goldstein, Sharpe and Blythe and is wildly known as Distribution Builder: investors should determine directly the distribution of the terminal payoff given their budget constraint. In this talk, Professor Sturm firstly 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.
This activity is not just about an amazing speech, it also provide a forum for the exchange of new ideas and results related to the field of quantitative finance.
GIFP looks forward to furthering cooperation and communication with IAQF in the future!
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