Speaker: Moris Strub (Warwick Business School )
Time: Nov. 11, 15:00-16:00
Venue: A3-4-301
ZOOM: 230 432 7880 (BIMSA)
Organizers:
Zhen Li, Fei Long, Yi-Shuai Niu, Yajuan Wang
Abstract
We propose a consequentialist approach to model selection: Models should be chosen not according to statistical criteria, but in view of how they are used. This principle is then studied in detail for continuous-time portfolio choice. Specifically, we consider an econometrician with prior beliefs on the likelihood of models to transpire and faced with the task of communicating a single model to a client. The client then accepts the model communicated by the econometrician and invests according to the strategy that maximizes expected utility within this specific model. As a consequence, the client receives the consequential performance of trading according to the model communicated by the econometrician in a potentially different model which accurately describes the world. The objective of the econometrician is to choose the model that maximizes the consequential performance of the client, averaged over the likelihood of models to transpire and weighted according to the risk preferences of the econometrician. One of the key findings is that it is best to recommend a model that is more optimistic than an unbiased estimator would suggest. This presentation is based on joint work with Thaleia Zariphopoulou.
Speaker Intro
Moris Strub is an Associate Professor at the Warwick Business School. He is the inaugural Course Director for the MSc Financial Technology, a lead academic at the Gillmore Centre for Financial Technology, and lead academic for PropTech at the FutureFinance.AI Research Group. Moris’ research interests are in the areas of optimal investment, behavioural finance and economics, and financial technology. He obtained a PhD in Financial Engineering from the Chinese University of Hong Kong and holds a BSc in Mathematics and MSc in Applied Mathematics from ETH Zurich, both awarded with distinction.
