BEGIN:VCALENDAR
PRODID:-//eluceo/ical//2.0/EN
VERSION:2.0
CALSCALE:GREGORIAN
BEGIN:VEVENT
UID:9554d514fb063d6a06c607850b5b733d
DTSTAMP:20260606T103501Z
SUMMARY:Control and Optimisation seminar – Moris Strub (Warwick)
DESCRIPTION:Title\nOptimal Investment to Reach a Financial Goal: A Stochast
 ic Control Framework\nAbstract\nWe develop a framework for an investor who
  trades until she either reaches a financial goal or an exogenous deadline
  arrives. Analogous to utility functions over wealth\, we measure satisfac
 tion with the timing of reaching a goal by a discount function. For a cont
 inuous-time market where a stochastic factor drives the dynamics of stock 
 prices and the financial goals\, the investor maximizes the expected disco
 unt at the goal-reaching time and the expected utility of the funding rati
 o if the goal remains unreached by the deadline. This setup leads to a new
  class of stochastic control problems.\nWe establish Bellman’s principle
  of optimality and characterize the value function as a viscosity solution
  to the associated Hamilton-Jacobi-Bellman equation. When the deadline is 
 infinite and the goal is constant\, the HJB equation reduces to a form rel
 ated to the backward heat equation\, for which we provide a complete chara
 cterization of smooth solutions.\nWhen analytical solutions are unavailabl
 e\, we develop an approach based on Howard’s algorithm to obtain numeric
 al solutions. Our analysis shows that optimal investment policies for goal
  reaching problems can be decreasing in the drift of risky assets and need
  not converge to full risk-free investment even as volatility diverges to 
 infinity.\nBased on joint work with Gechun Liang\, Yuwei Wang\, and Zhaoju
 n Yang.\nBio\n\nMoris Strub is an Associate Professor at the Warwick Busin
 ess School. He is the inaugural Course Director for the MSc Financial Tech
 nology\, a lead academic at the Gillmore Centre for Financial Technology\,
  and lead academic for PropTech at the FutureFinance.AI Research Group. Mo
 ris’ research interests are in the areas of optimal investment\, behavio
 ural finance and economics\, and financial technology. He obtained a PhD i
 n Financial Engineering from the Chinese University of Hong Kong and holds
  a BSc in Mathematics and MSc in Applied Mathematics from ETH Zürich. Bef
 ore joining WBS\, Moris was an assistant professor at the Southern Univers
 ity of Science and Technology.\n
URL:https://www.imperial.ac.uk/events/199119/control-and-optimisation-semin
 ar-moris-strub-warwick/
DTSTART;TZID=Europe/London:20251105T150000
DTEND;TZID=Europe/London:20251105T160000
LOCATION:410\, Huxley Building\, South Kensington Campus\, Imperial College
  London\, London\, SW7 2AZ\, United Kingdom
END:VEVENT
BEGIN:VTIMEZONE
TZID:Europe/London
BEGIN:STANDARD
DTSTART:20251105T150000
TZNAME:GMT
TZOFFSETTO:+0000
TZOFFSETFROM:+0000
END:STANDARD
END:VTIMEZONE
END:VCALENDAR