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DTSTART:20260212T123000
DTEND:20260212T134500
DTSTAMP:20260404T143400
SUMMARY:DF Lunch Seminar with Prof. Fabio Trojani (University of Geneva)
DESCRIPTION:“A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs”\n\nWith the Lunch Seminar series, the Department of Finance is bringing eminent and up-and-coming researchers from around the world to Luxembourg.\n\nAbstract\n\nWe introduce a comprehensive computational framework for solving dynamic portfolio choice problems with many risky assets, transaction costs, and borrowing and short-selling constraints. Our approach leverages the synergy between Gaussian process regression and Bayesian active learning to efficiently approximate value and policy functions with a novel, formal way of characterizing the irregularly-shaped no-trade region; we then embed this into a discrete-time dynamic programming algorithm. This combination allows us to study dynamic portfolio choice problems with more risky assets than was previously possible. Our results indicate that giving the agent access to more assets may alleviate some illiquidity resulting from the presence of transaction costs.\n\nAbout the speaker\n\nFabio Trojani is a Professor of Finance at the University of Geneva and a Senior Chair at the Swiss Finance Institute.\n\nLanguage\n\nEnglish.\n\nThis is a free event. Registration is mandatory.\n\nCold lunches are provided to registered participants only.\n\nLocation: https://www.uni.lu/en/about/campuses/kirchberg-campus/\nRead more: https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-prof-fabio-trojani-university-of-geneva/
UID:UL-23365
LOCATION:Kirchberg Campus 6 - rue Richard Couden­­­hove-Kalergi 1359 Luxembourg Luxembourg
URL:https://www.uni.lu/fdef-en/events/df-lunch-seminar-with-prof-fabio-trojani-university-of-geneva/
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