Speakers: Giordano Pola and Gianni Pola
When: April 26th, 2018 — 11:30 – 12:30 am
Where: Seminar room, last floor, Alan Turing Building
Title: Optimal control for stochastic reachability with application to quantitative finance

Abstract: In this talk we first discuss optimal control for reachability problems: given a stochastic nonlinear control system, and a specification expressed as a sequence of desired target sets, we design an optimal control Markov policy which maximises the probability for the state to stay within the target sets. Main tools employed here are stochastic nonlinear dynamic programming. We then show how these results can be applied to the synthesis of a total return financial product. The optimal portfolio designed by using our methods turns out to have an interpretation in terms of  financial strategy that is referred to as a contrarian strategy. A case study that has been also implemented in a real financial product will be also discussed.

 Giordano Pola is Assistant Professor at the University of L’Aquila.

 Gianni Pola is Head of Systematic Strategies & Quantitative Research, Multiasset, ANIMA SGR.

Seminar “Optimal control for stochastic reachability with application to quantitative finance”

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