Introduction to Forward Investment Performance Approach (Part I)

Prof. Thaleia Zariphopoulou

The University of Texas at Austin

About the Speaker

Thaleia Zariphopoulou is the holder of the Presidential Chair of Mathematics and the V.H. 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 Oxford-Man Chair in Quantitative Finance at the University of Oxford.

Her area of expertise is Financial Mathematics and Stochastic Optimization. She has published extensively in the areas of portfolio choice and pricing in incomplete markets.

In 2012, she was elected a SIAM Fellow. In 2010, she delivered the 5th Ladyzhenskaya Lecture and in 2014, she was an invited speaker at the International Congress of Mathematicians in Seoul.

She has served very actively in the community of Financial Mathematics. She sits on the editorial board of eight academic journals, she is the Editor of the SIAM Book Series in Financial Mathematics and has served in various prize committees. She has also been the Vice-Chair (2007-2010) of the SIAM Activity Group in Financial Mathematics and Engineering, and has served as Vice-President (2004-2006) and President (2006-2008) of the Bachelier Finance Society.

Abstract

In the first lecture, I will introduce the approach of forward investment performance measurement, discuss its fundamental elements, and its differences and similarities with the classical expected utility. The presentation will start with Ito-diffusion markets and will focus on forward processes that are time-monotone.

In the second lecture, I will first discuss turnpike (long-term) investment results for Ito-diffusion markets under time-monotone forward criteria. I will provide general results for the asymptotic spatial and temporal behavior of optimal portfolios, and will compare them with their classical counterparts. In the later part of the lecture, I will introduce predictable forward investment processes and discuss specific examples.