Speaker: Thaleia Zariphopoulou (University of Texas)
Date : August 22, 2014 (Friday)
Venue : T.Y.Wong Hall LT (TYW LT), The Chinese University of Hong Kong Map
Lecture :  16:00-17:00
Drinks Reception: 17:00-18:00
Inquiry : hkqf_help@[NO-SPAM]


This talk is on the forward investment performance approach under both model certainty and uncertainty. It will start with an overview of this new approach and its comparison to the classical expected utility. The case of time-monotone forward performance criteria will be presented as well as the cases of forward portfolio selection under different benchmarks and market views. In turn, representation of forward performance processes via ergodic and infinite horizon BSDE will be discussed together with their connection to the Kelly criterion.


Thaleia Zariphopoulou is the holder of the 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 Professorship 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. She has received a Sloan Fellowship and in 2012 she was elected a SIAM Fellow. In 2010, she delivered the 5th Ladyzhenskaya Lecture and this year, she was an invited speaker at the International Congress of Mathematicians in Seoul. She has served very actively the community of Financial Mathematics. She sits on the editorial board of seven academic journals and has served in various prize committees. She has also been the Vice-Chair (2007-2010) of the SIAG Activity Group in Financial Mathematics and Engineering, and has served as Vice-President (2004-2006) and President (2006-2008) of the Bachelier Finance Society.

Centre for Financial Engineering, The Chinese University of Hong Kong


Centre for Financial Engineering,
4th Floor, Academic Building No. 1,
The Chinese University of Hong Kong,
Sha Tin, Hong Kong
Tel: +852 3943 9561