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Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Date: 4:30pm-5:30pm, January 3 (Tuesday), 2017

Title: Some remarks on functionally generated portfolios

Speaker: Prof. Johannes Ruf, London School of Economics

Abstract:
In the first part of the talk I will review Bob Fernholz' theory of functionally generated portfolios. In the second part I will discuss questions related to the existence of short-term arbitrage opportunities. This is joint work with Bob Fernholz and Ioannis Karatzas.

Biography:
Johannes Ruf is a financial mathematician. One of his main research
interests is Stochastic Portfolio Theory. Besides working on a variety
of topics in Quantitative Finance, Johannes has done research in
Economic Learning Theory and the analysis of sparse social network data.

Johannes won various scholarships including one by the Fulbright
Association, and a Teaching Award at Columbia University. He gained
valuable experience in the financial industry through internships at
Commerzbank, d-fine, JPMorgan and Morgan Stanley. Both his master and
PhD thesis' won prestigious industry awards (DZ-Bank Karrierepreis and
Morgan Stanley Prize for Excellence in Financial Markets).

Johannes did his doctoral studies under the supervision of Ioannis
Karatzas, followed by a senior research fellowship at the Oxford-Man
Institute. From 2014 to 2016, he was first a senior lecturer and then a
Reader of Quantitative Finance and Probability at University College
London. Now, he is an Assistant Professor at the LSE.

Venue: Room 513,
William M.W. Mong Engineering Building (ERB),
(Engineering Building Complex Phase 2)
The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Xuedong He,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: xdhe@se.cuhk.edu.hk
Homepage: https://sites.google.com/site/xuedonghepage/home

SEEM-5201 Website: http://seminar.se.cuhk.edu.hk
Email: seem5201@se.cuhk.edu.hk

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