Description

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This is a follow up to the 2022 long program on Decision Making and Uncertainty. The aim is to bring together a group of participants who were speakers and long-term participants in the Spring 2022 long program, and discuss the progress and developments made since in the areas they presented and the collaborations that started at IMSI. The workshop will cover methodological advances in:

  • decision making under uncertainty and reinforcement learning,
  • model uncertainty and robustness,
  • sustainable finance and systemic vulnerabilities,
  • machine learning and automated markets,
  • and financial stability and stress testing.

Organizers

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R C
Rama Cont University of Oxford
J O
Jan Obloj University of Oxford
T Z
Thaleia Zariphopoulou University of Texas

Speakers

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B A
Beatrice Acciaio ETH Zurich
J B
Jose Blanchet Stanford University
I C
Igor Cialenco Illinois Institute of Technology (IIT)
S C
Samuel Cohen Oxford University
P G
Paul Glasserman Columbia University
X G
Xin Guo University of California Berkeley
L H
Lars Hansen University of Chicago
A H
Anran Hu Oxford University
T M
Thibaut Mastrolia University of California Berkeley
A M
Andreea Minca Cornell University
M N
Marcel Nutz Columbia University
H P
Huyên Pham University of Paris
C R
Christoph Reisinger Oxford University
L T
Ludovic Tangpi Princeton University
P T
Peter Tankov ENSAE Paris
L V
Luitgard Veraart London School of Economics
R W
Ruodu Wang University of Waterloo
J W
Johannes Wiesel Carnegie Mellon University
R X
Renyuan Xu University of Southern California
L Z
Luhao Zhang Columbia University
Y Z
Yufei Zhang Imperial College London
X Z
Xunyu Zhou Columbia University

Schedule

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Monday, February 5, 2024
9:00-9:50 CST
Learning Merton’s Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration

Speaker: XunYu Zhou (Columbia University)

9:50-10:30 CST
Coffee Break
10:30-11:10 CST
Does Overnight News Explain Overnight Returns?

Speaker: Paul Glasserman (Columbia University)

11:10-12:00 CST
On the Foundations of Distributionally Robust Reinforcement Learning

Speaker: Jose Blanchet (Stanford University)

12:00-13:30 CST
Lunch Break
13:30-14:10 CST
Liquidity shocks in financial networks

Speaker: Luitgard Veraart (London School of Economics)

14:10-15:00 CST
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation

Speaker: Huyên Pham (University of Paris)

15:00-16:00 CST
Social Hour
Tuesday, February 6, 2024
9:00-9:50 CST
Risk-sensitive Markov Decision Process and Learning under General Utility Functions

Speaker: RenYuan Xu (University of Southern California (USC))

9:50-10:20 CST
Coffee Break
10:20-11:10 CST
Optimal adaptive control with separable drift uncertainty

Speaker: Samuel N Cohen (Oxford University)

11:10-12:00 CST
Dynamic robo-advising using model predictive control

Speaker: Igor Cialenco (Illinois Institute of Technology)

12:00-13:30 CST
Lunch Break
13:30-14:10 CST
Offline reinforcement learning for price impact models

Speaker: Yufei Zhang (Imperial College London)

14:10-15:00 CST
Decision Making under Costly Sequential Information Acquisition: the Paradigm of Reversible and Irreversible Decisions

Speaker: Luhao Zhang (Columbia University)

15:00-15:30 CST
Coffee Break
15:30-16:10 CST
Entropic Selection in Optimal Transport

Speaker: Marcel Nutz (Columbia University)

Wednesday, February 7, 2024
9:00-9:50 CST
How Should Climate Change Uncertainty Impact Social Valuation and Policy?

Speaker: Lars Hansen (University of Chicago)

9:50-10:20 CST
Coffee Break
10:20-11:10 CST
On the Martingale Schrödinger Bridge between Two Distributions

Speaker: Johannes Wiesel (Carnegie Mellon University)

11:10-12:00 CST
Recent advances in auction markets design and regulation policies

Speaker: Thibault Mastrolia (University of California, Berkeley (UC Berkeley))

12:00-13:30 CST
Lunch Break
13:30-14:10 CST
Asset pricing under climate scenario uncertainty and model ambiguity

Speaker: Peter Tankov (ENSAE Paris)

14:10-15:00 CST
Choquet quantiles

Speaker: Ruodu Wang (University of Waterloo)

15:00-15:30 CST
Coffee Break
15:30-16:10 CST
Cascading Risks and Sensitivity in Economic Networks

Speaker: Andreea Minca (Cornell University)

Thursday, February 8, 2024
9:10-9:50 CST
Bass Local Volatility model

Speaker: Beatrice Acciaio (ETH Zürich)

9:50-10:30 CST
Coffee Break
10:30-11:10 CST
Markov decision processes and mean-field games with costly and delayed information

Speaker: Christoph Reisinger (University of Oxford)

11:10-12:00 CST
Probabilistic approach to discounted infinite horizon mean field games

Speaker: Ludovic Tangpi (Princeton University)

12:00-13:30 CST
Lunch Break
13:30-14:10 CST
Fast policy learning for linear quadratic control with entropy regularization

Speaker: Xin Guo (Unviersity of California, Berkeley)

14:10-15:00 CST
Mean-Field Approximations in Heterogeneous N-Player Games

Speaker: Anran Hu (University of Oxford)

15:00-15:15 CST
Conclusion
15:15-16:00 CST
Coffee Break
Friday, February 9, 2024
9:00-12:00 CST
Open Discussion

Videos

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Learning Merton’s Strategies in an Incomplete Market: Recursive Entropy Regularization and Biased Gaussian Exploration

XunYu Zhou
February 5, 2024

On the Foundations of Distributionally Robust Reinforcement Learning

Jose Blanchet
February 5, 2024

Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation

Huyên Pham
February 5, 2024

Offline reinforcement learning for price impact models

Yufei Zhang
February 6, 2024

Entropic Selection in Optimal Transport

Marcel Nutz
February 6, 2024

How Should Climate Change Uncertainty Impact Social Valuation and Policy?

Lars Hansen
February 7, 2024

On the Martingale Schrödinger Bridge between Two Distributions

Johannes Wiesel
February 7, 2024

Recent advances in auction markets design and regulation policies

Thibault Mastrolia
February 7, 2024

Asset pricing under climate scenario uncertainty and model ambiguity

Peter Tankov
February 7, 2024

Choquet quantiles

Ruodu Wang
February 7, 2024

Cascading Risks and Sensitivity in Economic Networks

Andreea Minca
February 7, 2024

Bass Local Volatility model

Beatrice Acciaio
February 8, 2024

Markov decision processes and mean-field games with costly and delayed information

Christoph Reisinger
February 8, 2024

Fast policy learning for linear quadratic control with entropy regularization

Xin Guo
February 8, 2024

Mean-Field Approximations in Heterogeneous N-Player Games

Anran Hu
February 8, 2024