SEM217: Agostino Capponi, Columbia

Tuesday, March 15th @ 11:00-12:30 PM (ONLINE)

Robo-Advising: Personalization and Goals-Based Investing

Agostino Capponi, Columbia

Abstract: Robo-advising encompasses any form of algorithmic advice offered to clients. We begin by presenting a dynamic optimization framework based on human-machine interactions, where robo-advisors personalize their portfolios to the clients they serve. We characterize the interaction frequency which strikes the optimal balance between frequent interactions to learn clients' risk attitudes and mitigation of behavior biases in clients' responses. We then discuss goal-based robo-advising which, rather than optimizing portfolio Sharpe ratios, aims at maximizing satisfaction of investors' goals by the specified deadlines. We introduce a stochastic control framework for goals based investing, and study the tradeoff between funding the current goal versus saving to meet higher priority future goals

Recording | Slides