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    Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong

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Date: Friday, June 7, 4:30 pm – 5:30 pm

Venue: ERB 513, The Chinese University of Hong Kong

Title: Asset liability management under sequential stochastic dominance constraints

Speaker:  Prof Giorgio Consigli, Dept of Mathematics, Khalifa University of Science and Technology

Abstract:

We formulate a long-term multi-period institutional Asset-Liability Management (ALM) problem, in which the decision maker seeks the minimization of the initial capital invested in a dedicated immunized portfolio and the risk stemming from two sources: the investment losses and the shortfall with respect to an exogenous capital requirement. The asset portfolio is required to stochastically dominate a liability portfolio under a rich set of exogenous uncertainties. The problem is formulated as a sequential decision problem with second-order stochastic-dominance constraints that are enforced in a time-consistent manner. The risk associated with investment losses and regulatory capital is managed by optimizing a time-consistent dynamic measure of risk in the objectives, while the risk associated with the liability coverage is controlled by the sequential stochastic dominance constraints resulting in a robust optimal risk-averse policy. We devise an efficient decomposition method for solving the risk-averse multi-stage problem and discuss its convergence. The proposed methodology is validated computationally on a case study developed on a property and casualty ALM problem. 

Biography:

Dr. Giorgio Consigli is Associate Professor in the Dept of Mathematics of Khalifa University of Science and Technology since 2021. Before this, from 2005 to 2020, he has been in the faculty of Economics of the University of Bergamo (Italy). From 1998 to 2005 he has been working as Vice Director of quantitative development in the UniCredit investment bank (IT) and as a consultant for quantitative developments in the financial and insurance sectors. Giorgio has an UG degree in Mathematical Economics from University of La Sapienza in Rome and an MSc in Banking and Finance. He completed his PhD at the University of Essex in 1995 and spent three years as a PostDoc at the University of Cambridge under the supervision of Professor M.A.H.Dempster. Giorgio is Fellow of the UK Institute of Mathematics and its Applications (FIMA), founded the Italian OR Society Stochastic Programming section and has been an elective member of the Scientific Committee of the Stochastic Programming Society (COSP) within MOS for two mandates from 2011 to 2016 and he has been appointed again last year at the ICSP 2023 conference. He chaired scientifically and organized several conferences, among which are the 2013 International Symposium of Stochastic Programming, the 2017 International Conference on Computational Management Science at the University of Bergamo and the 2023 the EWGCFM 68th conference on Converging paths in commodity and financial markets analysis at Khalifa University. He is Area Editor for Finance of OR Spectrum (Q1, Springer) and the IMA Journal of Management Mathematics (Q1, Oxford Univ. Press), and Associate Editor of the Journal of Computational Management Science (Springer), International Journal of Financial Engineering and Risk Management (Inderscience). Giorgio has a record of research grants and advanced training grants in the area of computational methods in finance and applied mathematics both at national and international levels, and has proposed and supervised over more than 20 years  several privately funded R&D.

Everyone is welcome to attend the talk!

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