Dear All, You are kindly invited to attend the next Stochastics and Finance seminar. On Wednesday October 6 at 2pm Nicolas Langrene will give a talk via Zoom. Zoom link: https://uni-sydney.zoom.us/j/87491585109 Speaker: Dr Nicolas Langrene (CSIRO) Title: Portfolio optimization with a prescribed terminal wealth distribution Abstract: This paper studies a portfolio allocation problem, where the goal is to reach a prescribed wealth distribution at a final time. We study this problem with the tools of optimal mass transport. We provide a dual formulation which is solved with a gradient descent algorithm. This involves solving an associated HamiltonâJacobiâBellman and FokkerâPlanck equations with a finite difference method. Numerical examples for various prescribed terminal distributions are given, showing that we can successfully reach attainable targets. We then consider adding consumption during the investment process, to take into account distributions that are either not attainable, or sub-optimal. This talk is based on a paper accepted for publication in Quantitative Finance, https://www.tandfonline.com/doi/abs/10.1080/14697688.2021.1967432?journalCode=rquf20. https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html Please feel free to forward this message to anyone who might be interested in this talk. Kind regards, Anna