Title:
Some portfolio choice problems with path-dependency
Abstract:
In this talk I will review some work carried out in the context of portfolio choice problems with path-dependent dynamics for relevant state variables. Examples include optimal asset allocation with sticky wages, asset-liability management for pension plans and net zero alignment for financed emissions.
Biography:
Enrico Biffis is Associate Professor of Actuarial Finance at Imperial College Business School, Associate Director for Development Finance at the Brevan Howard Centre for Financial Analysis, Director of the Sustainable Finance Lab at I-X and a member of the Centre for Climate Finance & Investment at Imperial. His areas of expertise are risk analysis and asset-liability management, with a focus on applications in the insurance and investment management sectors, as well as the design of predictive analytics and risk management tools for a variety of asset classes. Dr Biffis has collaborated extensively with leading financial institutions, regulators, governmental and non-governmental organizations, including the World Bank and the International Monetary Fund, and has been the recipient of numerous grants and awards for his research on the modelling and transfer of large risks. Prior academic experience includes work as tenured faculty at the Robinson College of Business at Georgia State University and as an editor of ASTIN Bulletin – The Journal of the International Actuarial Association.
Zoom Meeting Details
- Link: https://imperial-ac-uk.zoom.us/j/99670339352?pwd=Z01vTjUvNmFxYklEQUp1OEUzM29FUT09
- Meeting ID: 996 7033 9352
- Passcode: M!=6Dt