Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

The traditional view of portfolio construction, risk analysis, and execution holds that these three functions of money management are separable. Portfolios are constructed without incorporating the costs of execution, and execution is conducted without considering portfolio level risk. This is of course suboptimal. With the explosive growth of algorithmic trading, several mathematical and computational methodologies have been proposed for unifying and improving traditional money management functions. This presentation addresses important developments in this area, including:

·Incorporating market impact costs into portfolio optimization ·Multi-period dynamic portfolio analysis ·High-frequency simulation for dynamic portfolio analysis ·The high-frequency arms race (time permitting) (Slides)

Speaker: Petter Kolm, NYU