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CREATED:20200106T113344Z
DESCRIPTION:The University Community is invited to the 28th Annual Owen G.
Owens Memorial Lecture\nwith\nGuest speaker\, Dr. Thaleia Zariphopoulou\nP
residential Chair of Mathematics and the V. H. Neuhaus Centennial Professo
r of Finance at the University of Texas at Austin\n \; \;Human-mac
hine interaction models and stochastic optimization\nWednesday\, March 4\,
2020\nRoom 1507\, College of Engineering\nRefreshments served at 2:30pm\n
Lecture starting at 3:00pm\nThe lecture is free and open to the general pu
blic.\n \;\nAbstract: \;I will introduce a family of human-machine
interaction (HMI) models in optimal asset allocation\, risk management an
d portfolio choice (robo-advising). Modeling difficulties stem from the li
mited ability to quantify the human&rsquo\;s risk preferences and describe
their evolution\, but also from the fact that the stochastic environment\
, in which the machine optimizes\, adapts to real-time incoming informatio
n that is exogenous to the human. Furthermore\, the human&rsquo\;s risk pr
eferences and the machine&rsquo\;s states may evolve at different scales.
This interaction creates an adaptive cooperative game with both asymmetric
and incomplete information exchange between the two parties.\nAs a result
\, challenging questions arise on\, among others\, how frequently the two
parties should communicate\, what information can the machine accurately d
etect\, infer and predict\, how the human reacts to exogenous events\, how
to improve the inter-linked reliability between the human and the machine
\, and others. Such HMI models give rise to new\, non-standard optimizatio
n problems that combine adaptive stochastic control\, stochastic different
ial games\, optimal stopping\, multi-scales and learning.\nAbout Professor
Zariphopoulou\nThaleia Zariphopoulou is the holder of the Presidential Ch
air of Mathematics and the V.F. Neuhaus Professorship of Finance at the Un
iversity of Texas at Austin. Previously\, she was the Laun Professor at th
e University of Wisconsin\, Madison and from 2009-2012\, the first holder
of the statutory Oxford-Man Chair in Quantitative Finance at the Mathemati
cal Institute\, University of Oxford.\nShe is an associate faculty member
of the Oxford-Man Institute of Quantitative Finance and holds a Visiting P
rofessorship at the Mathematical Institute\, University of Oxford. She is
also a visiting member of the FDT Center for Intelligent Asset Management\
, IEOR Department\, Columbia University.\nHer area of expertise is Financi
al Mathematics and Stochastic Optimization. She has published extensively
in the areas of investments and valuation in incomplete markets\, and intr
oduced novel approaches to indifference valuation\, risk measures and dyna
mic utilities.\nShe has served very actively the community of Financial Ma
thematics. She sits on the editorial board of eleven academic journals and
monograph series\, and she is the Editor of the SIAM Series in Financial
Mathematics. She has served in various prize committees and panels. She ha
s also been the Vice-Chair (2007-2010) of the SIAG Activity Group in Finan
cial Mathematics and Engineering\, and has served as Vice-President (2004-
2006) and President (2006-2008) of the Bachelier Finance Society.\nIn 2012
\, she was elected SIAM Fellow and in 2014\, she was an invited speaker at
the International Congress of Mathematicians in Seoul.
DTSTART:20200304T143000
DTEND:20200304T153000
LOCATION:Engineering\, College of
SUMMARY:Department of Mathematics Annual Owens Lecture - Thaleia Zariphopou
lou
TRANSP:OPAQUE
URL:https://events.wayne.edu/main/2020/03/04/department-of-mathematics-annu
al-owens-lecture-thaleia-zariphopoulou-84824/
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