Thu, 22 Jan 2026

16:00 - 17:00
L5

Bayesian dynamic portfolio optimization with informative constraints

Jonathan Tam
((Mathematical Institute University of Oxford))
Abstract
There is a recent debate on whether sustainable investing necesarily impact portfolio performance negatively. We model the financial impact of portfolio constraints by attributing the performance of dynamic portfolios to contributions from individual constraints. We consider a mean-variance portfolio problem with unknown asset returns. Investors impose a dynamic constraint based on a firm characteristic that contains information about returns, such as the environmental, social, and governance (ESG) score. We characterize the optimal investment strategy through two stochastic Riccati equations. Using this framework, we demonstrate that, depending on the correlation between returns and firm characteristics, incorporating the constraint can, in certain cases, enhance portfolio performance compared to a passive benchmark that disregards the information embedded in these constraints. Our results shed light on the role of implicit information contained in constraints in determining the performance of a constrained portfolio.
 
This project is joint work with Ruixun Zhang (Peking University), Yufei Zhang (Imperial College London) and Xunyu Zhou (Columbia University).
 


 

Thu, 05 Mar 2026

16:00 - 17:00
L5

TBA

Vlad Tuchilu
((Mathematical Institute University of Oxford))
Abstract

TBA

Struggling to find joy? Feeling unmotivated? Interested in contributing to research?

The Department of Psychiatry are looking for volunteers aged 18–65 who are experiencing low mood or reduced motivation to take part in a study testing a 7-day course of Losartan (a licensed blood pressure medicine) or placebo, and psychological training focused on activity scheduling. 

Participants who complete the study will be reimbursed at least £140, plus reasonable travel expenses for visits.

Wed, 14 Jan 2026

11:00 - 13:00
L3

Ergodicity of infinite volume Phi^4_3 model at high temperature

Paweł Duch
(EPFL - Swiss Federal Technology Institute of Lausanne)
Abstract

The dynamical Phi^4_3 model is a stochastic partial differential equation that arises in quantum field theory and statistical physics. Owing to the singular nature of the driving noise and the presence of a nonlinear term, the equation is inherently ill-posed. Nevertheless, it can be given a rigorous meaning, for example, through the framework of regularity structures. On compact domains, standard arguments show that any solution converges to the equilibrium state described by the unique invariant measure. Extending this result to infinite volume is highly nontrivial: even for the lattice version of the model, uniqueness holds only in the high-temperature regime, whereas at low temperatures multiple phases coexist.

We prove that, when the mass is sufficiently large or the coupling constant sufficiently small (that is, in the high-temperature regime), all solutions of the dynamical Phi^4_3 model in infinite volume converge exponentially fast to the unique stationary solution, uniformly over all initial conditions. In particular, this result implies that the invariant measure of the dynamics is unique, exhibits exponential decay of correlations, and is invariant under translations, rotations, and reflections.

Joint work with Martin Hairer, Jaeyun Yi, and Wenhao Zhao.

Café π news - Veganuary

Veganuary specials:

This week: 20% off all vegan main hot meals

Monday 12 – Friday 16: launch of new vegan cakes

Monday 19 – Friday 23: free alternative milks with all hot and iced drinks

Monday 26 – Friday 30: buy one, get one half price on all vegan cakes and pastries

Short stories 6 - One cool cat

Cats are mathematically smart. They can count to nine, they are rarely heading for a fall, and when they are, they always land on their feet. But sometimes they just don't know whether they are coming or going.

Short Stories 5 - Rabbit, Rabbit, Rabbit

Rabbit: a small furry mammal. 'Rabbit, rabbit, rabbit: a superstition for day one of the month to bring luck for the rest of it. 'Rabbit and pork: Cockney rhyming slang for talk, as in too much of. Rabbit: a maths puzzle?

You can watch Robin's full 15-minute talk on the Golden Ratio here.

Short stories 4 - Eh Aye

Highlights from the comments on our social media in 2025: Flat Earthers 'descending' on our Space video; raging rows over nothing in particular; and lots of that crazy little thing called love. Familiar? Oh, yes And AI.

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