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SIAM Activity Group on FME Virtual Talk Series
Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering.

Date: Thursday, May 12, 2022, 1PM

Speaker: Carole Bernard, Grenoble Ecole de Management / Faculty of Economics, Vrije Universiteit Brussel

Title: Multivariate Portfolio Choice via Quantiles

Abstract: Agents who optimize a univariate law-invariant increasing objective (e.g., an expected utility, a Cumulative Prospect Theory objective function) obtain optimal payoffs that are decreasing in the pricing kernel. Such observation plays a key role in the theory developed by He and Zhou (2011) on "Portfolio Choice via Quantiles’’. In this paper, we first show how it is possible to extend this quantile approach to solve a multivariate optimal portfolio for some multivariate preferences (e.g., multivariate expected utility, inf-convolution of tail risk measures). Second, we develop a new approach allowing us to solve the multivariate optimal portfolio problem numerically.

This is based on joint papers with Luca Aquino De Gennaro, Andrea Perchiazzo and Steven Vanduffel.
Jun 9, 2022 01:00 PM
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Carole Bernard
@Grenoble Ecole de Management / Faculty of Economics, Vrije Universiteit Brussel
Carole Bernard graduated from “Ecole Normale Supérieure de Cachan” (France) in 2003 and obtained her Ph.D. in Finance from the Institute of Financial and Actuarial Sciences in Lyon (France) in 2005. She has then been working at the University of Waterloo in Canada from 2006 to 2015, at the Grenoble Ecole de Management since 2015 and VUB since 2016. Her research interests are in finance, behavioural modelling, insurance and theoretical economics. Carole has published articles in recognized international journals, such as Management Science, Journal of Risk and Insurance, Journal of Banking and Finance and Mathematical Finance among others. She is on the editorial board of several leading journals in finance and insurance such as SIAM Journal on Financial Mathematics, Journal of Risk and Insurance and Journal of Banking and Finance.