PhD Seminar • Scientific Computation | Quantitative Finance • Optimal Asset Allocation during High InflationExport this event to calendar

Tuesday, November 8, 2022 — 12:00 PM to 1:00 PM EST

Please note: This PhD seminar will take place online.

Chendi Ni, PhD candidate
David R. Cheriton School of Computer Science

Supervisors: Professors Yuying Li, Peter Forsyth

In this seminar, we discuss the optimal multi-period asset allocation problem during high inflation periods. We first establish theoretical results for the stochastic optimal control problem under synthetic market data. We then take a machine learning approach by modeling the optimal controls as outputs of a neural network function of features, which avoids the curse-of-dimensionality problem in common dynamic programming approaches. The optimal strategy learned from bootstrap resampled data shows superior performance over the benchmark fixed-mix strategy over the entire investment horizon.


To join this PhD seminar on WebEx, please go to https://rbcteams.webex.com/rbcteams/j.php?MTID=m15a17ba4f9773934b2acc9138dc4ea98.

Location 
Online PhD seminar
200 University Avenue West

Waterloo, ON N2L 3G1
Canada
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