Department of Mathematics Annual Owens Lecture - Thaleia Zariphopoulou
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Detroit, MI 48202
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The University Community is invited to the 28th Annual Owen G. Owens Memorial Lecture
Guest speaker, Dr. Thaleia Zariphopoulou
Presidential Chair of Mathematics and the V. H. Neuhaus Centennial Professor of Finance at the University of Texas at Austin
Human-machine interaction models and stochastic optimization
Wednesday, March 4, 2020
Room 1507, College of Engineering
Refreshments served at 2:30pm
Lecture starting at 3:00pm
The lecture is free and open to the general public.
Abstract: I will introduce a family of human-machine interaction (HMI) models in optimal asset allocation, risk management and portfolio choice (robo-advising). Modeling difficulties stem from the limited ability to quantify the human’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 information that is exogenous to the human. Furthermore, the human’s risk preferences and the machine’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.
As a result, challenging questions arise on, among others, how frequently the two parties should communicate, what information can the machine accurately detect, 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 optimization problems that combine adaptive stochastic control, stochastic differential games, optimal stopping, multi-scales and learning.
About Professor Zariphopoulou
Thaleia Zariphopoulou is the holder of the Presidential Chair of Mathematics and the V.F. Neuhaus Professorship of Finance at the University of Texas at Austin. Previously, she was the Laun Professor at the University of Wisconsin, Madison and from 2009-2012, the first holder of the statutory Oxford-Man Chair in Quantitative Finance at the Mathematical Institute, University of Oxford.
She is an associate faculty member of the Oxford-Man Institute of Quantitative Finance and holds a Visiting Professorship 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.
Her area of expertise is Financial Mathematics and Stochastic Optimization. She has published extensively in the areas of investments and valuation in incomplete markets, and introduced novel approaches to indifference valuation, risk measures and dynamic utilities.
She has served very actively the community of Financial Mathematics. 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 has also been the Vice-Chair (2007-2010) of the SIAG Activity Group in Financial Mathematics and Engineering, and has served as Vice-President (2004-2006) and President (2006-2008) of the Bachelier Finance Society.
In 2012, she was elected SIAM Fellow and in 2014, she was an invited speaker at the International Congress of Mathematicians in Seoul.