Skip to content. | Skip to navigation

Personal tools


UMR 5672

logo de l'ENS de Lyon
logo du CNRS
You are here: Home / Seminars / Machine Learning and Signal Processing / Optimal ecological transition path using MMK formulation

Optimal ecological transition path using MMK formulation

Clara Lage (post-doc, Ecole Polytechnique, Paris)
When May 03, 2022
from 01:00 to 02:00
Attendees Clara Lage
Add event to calendar vCal

Title : Optimal ecological transition path using MMK formulation]{Optimal ecological transition path of a credit portfolio distribution, based on Multidate Monge-Kantorovich formulation

Asbtract :   Accounting for climate transition risks is one of the most important challenges in the transition to a low-carbon economy. Banks are encouraged to align their investment portfolios to CO2 trajectories fixed by international agreements, showing the necessity of a quantitative methodology to implement it. We propose a mathematical formulation for this problem and a multistage optimization criterion for a transition between the current bank portfolio and a target one. The optimization Problem combines the Monge-Kantorovich formulation of optimal transport, for which the cost is defined according to the financial context, and a credit risk measure. We show that the problem is well-posed, and can be embedded into a saddle-point problem for which Primal-Dual algorithms can be used. We design a numerical scheme that is able to solve the problem in available time, with nice scalability properties according to the number of decision times; its numerical convergence is analyzed. We test the model using real financial data, illustrating that the optimal portfolio alignment may differ from the naive interpolation between the initial portfolio and the target.  

More information : 

Exposé en salle M7 101 (ENS de Lyon, site Monod, 1er étage côté Recherche au M7)