Department of Mathematics - Seminar on Financial Mathematics - The Distribution Builder - A tool for financial decision making in the FinTech era

The era of FinTech heralds personalized financial decision making through tools such as robo-advising. Alas, the input of personal preferences needed to personalize decision making is difficult and existing methods lack robustness. Sharpe, Goldstein, Blythe and Johnson introduced with the distribution builder a powerful tool to directly solicit user preferences on the outcomes of investments that can be used as base from decision making. In this presentation we explain how the methodology of the distribution builder can be leveraged successfully from the original setting - portfolio optimization in complete markets - to a wide array of other situations: consumption, incomplete markets and the timing of asset sales. This talk is based on joint work with Carole Bernard, Peter Carr, Mauricio Elizalde Mejia, Sixian Jin and Benjamin Rajotte.