Math Finance Seminar Series
Fall 2024 Math Finance Seminar
Join us for the Fall 2024 Math Finance seminar featuring Yu Zhang, senior investment strategist, and Harshdeep Ahluwalia, head of asset allocation, Americas, both from The Vanguard Group. They will discuss “A Rational Multi-Asset Portfolio Rebalancing Decision-Making Framework” on Wednesday, Sept. 4, 2024. Networking and refreshments begin at noon, the presentation begins at 12:15 p.m., followed by a Q&A.
Abstract
The authors propose a comprehensive, rigorous and quantitative decision-making framework that considers the important elements for selecting an optimal multi-asset portfolio rebalancing strategy. These aspects are typically ignored in traditional rebalancing research, which either leverages one historical sample path for asset returns in the analysis or ignores transaction costs (or assumes static transition costs) or does not propose an optimal rebalancing strategy.
In particular, the proposed framework incorporates a simulation engine to model the inherent return uncertainty of assets as well as a dynamic transaction cost simulations model that links the bid-ask spread with the market condition, and a utility-based optimization engine that determines the optimal rebalancing strategy while simultaneously quantifying its benefit. Additionally, the framework allows for attributing the source of benefit of one rebalancing approach relative to another and in which market environments those benefits typically play out.
previous Math Finance seminars
Empirical Applications of Valuation and Risk Management Models
Speaker: Michael Pagano, The Robert J. and Mary Ellen Darretta Endowed Chair in Finance at Villanova University
Strategic Bank Liability Structure Under Regulatory Capital Requirements
Guest Speaker: Dr. Zhenyu Wang, Professor of Business Finance and Edward E. Edwards Professor at the Kelley School of Business at Indiana University, and former head of Financial Intermediation Function at the Federal Reserve Bank of New York
Recent Developments in Reinforcement Learning and Its Application in Finance
Guest Speaker: Renren Dong, Director, Senior Trader at Bank of America
The Dawn of Decentralized Finance and MAFI Alumni Career Panel
Guest Speaker: Dr. Steven Clark, Associate Professor of Finance
Panelists:
- Danielle Avery, AVP, Sr. Data Technology Analyst, Bank of America
- Jacob Etringer, Quantitative Analytics Co-Op Associate, Wells Fargo
- Katrina Hartley, AMD Engineer, Goldman Sachs
- Peter Trzil, Risk Analytics Sr. Specialist, Charles Schwab
2020 Belk College Outstanding Young Alumna presentation
Guest Speaker: Jane Wu ’07, M.S. in Mathematical Finance, recipient of the 2020 Belk College Outstanding Young Alumna Award and President of Panorama Holdings, LLC.
SBIG Data: Big Impact on Predictability
Guest Speaker: Dr. Guofu Zhou, Frederick Bierman and James E. Spears Professor of Finance at Olin Business School (OBS)
Standard Initial Margin Model: A Practitioner’s Perspective
Guest Speaker: Jonathan Wu, Managing Director Area Head of Corporate Market Risk Oversight of Rates, Wells Fargo Bank
Two Sides of the Same Coin: Why Corporate Risk Managers and Trading Risk Managers Calculate Risk Differently
Guest Speaker: Dr. Paul Romanelli, Head of Corporate Risk Model Development (CRMD), Wells Fargo Bank
A Simple and Robust Approach for ES Estimation in Risk Management
Guest Speaker: Dr. Tao Pang, Associate Professor & Director of Financial Mathematics Program, Department of Mathematics, North Carolina State University
Theoretical Problems in Credit Portfolio Modeling
Guest Speaker: Professor David X. Li, Professor of Finance, Faculty Co-director of Master of Finance at Shanghai Advanced Institute of Finance (SAIF), Associate Director of Chinese Academy of Financial Research (CAFR) at Shanghai Jiaotong University
Market Risk Stress Testing: Concepts and Issues
Guest Speaker: Dr. Keith A. Heyen, Managing Director, Market Risk Analytics Credit & Market Risk Management, Wells Fargo
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Risk-Adjusted Pricing for Bank Loans Under Market Interest Rate; Dr. Yimin Yang, Senior Director at Protiviti, Inc.
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Resume Book and Career Development for M.S. Mathematical Finance Students; Robin Boswell, Director of Graduate Student Career Development
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Global Association of Risk Professionals (GARP); Dr. Lisa Ponti, Vice President – Institutional Outreach The America, Global Association of Risk Professionals (GARP)
Financial and Economic Analysis for Investing in Renewable Energy and Energy Markets; David March, Co-Founder and Managing Partner of Entropy Investment Management
Term Auction Facility: The Fed’s First Response to the Financial Crisis and Its Effects on Labor; Dr. Zhenyu Wang
Advances in Fair Lending Modeling; Dr. Maia Berkane, Wells Fargo
Counterparty Credit Risk: Measurement and Management; Catherine Li, SVP, Bank of America
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Model Risk Management in the Current Environment; Tony Yang, Director in Financial Risk Management, KPMG LLP, Advisory Service