May 27, 2016
For Immediate Release
WATERLOO – Wilfrid Laurier University will host financial expert Petter Kolm at an investment seminar May 31 on the university’s Waterloo campus.
Hosted in partnership with Laurier’s Interdisciplinary Research Institute for Mathematical and Statistical Modelling in Scientific Discovery, Innovation and Sustainability (MS2Discovery), the seminar titled, “Multi-period Portfolio Selection and Bayesian Dynamic Models,” will explore ways to optimize long-term investment portfolios to maximize profits, while minimizing risks and trading costs.
“Planning a sequence of trades extending into the future is a classical investment problem,” said Roman Makarov, associate professor in Laurier’s Department of Mathematics and coordinator of the event. “It requires thorough optimization in the presence of transaction costs. Petter presents a general framework that encompasses different types of problems related to trading and establishes an intuitively appealing link to the theory of Bayesian statistics, which uses probability to provide insight into the behaviour of the market.”
Kolm is the director of the Mathematics in Finance master’s program and clinical professor at the Courant Institute of Mathematical Sciences at New York University, and the principal of the Heimdall Group, LLC.
Kolm previously worked in the quantitative strategies group at Goldman Sachs Asset Management. He has coauthored Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). Kolm is a member of the editorial boards of the International Journal of Portfolio Analysis and Management, Journal of Investment Strategies, Journal of Portfolio Management, and the board of directors of the International Association for Quantitative Finance (IAQF). He holds a PhD in mathematics from Yale, an M.Phil. in Applied Mathematics from Royal Institute of Technology, and an M.Sc. in mathematics from the Swiss Federal Institute of Technology Zurich.
MS2Discovery promotes synergetic developments involving mathematical and statistical modelling. The institute stimulates research and projects through important interdisciplinary problems that are motivated by other disciplines, industry, public policies and developments in society.
The event will be held May 31 from 4 p.m. to 5 p.m. in Bricker Academic Room 209 at Laurier’s Waterloo campus. The event is open to the public.
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Roderick Melnik, Professor
Tier I Canada Research Chair in Mathematical Modelling
Department of Mathematics
Director, MS2Discovery Interdisciplinary Research Institute
T: 519.884.0710 x3662
Kevin Crowley, Director
Communications & Public Affairs
Wilfrid Laurier University
T: 519.884.0710 x3070
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