Dr. Giorgio Consigli
Dr. Giorgio Consigli Associate Professor
Bio
Education
Teaching Areas
Research Interests
Bio

Associate Professor, Department of Mathematics

Dr. Giorgio Consigli has been Associate Professor of Applied Mathematics in Economics and Finance at the University of Bergamo (Italy) before joining Khalifa University in 2021. Prior to that, he has been working on quant research and as a consultant for quantitative developments in the financial and insurance sectors. He completed his PhD at the University of Essex and spent three years as a PostDoc at the University of Cambridge in the UK.

Dr.  Consigli is a Fellow of the UK Institute of Mathematics and its Applications (FIMA) and Board member of the EURO WGs on Commodity and Financial Modeling and on Stochastic Optimization. He founded the Italian OR Society’s Stochastic Programming section and has been an elective member of the Scientific Committee of the Stochastic Programming Society within MOS from 2011 to 2016.  Dr. Consigli chaired scientifically and organized several conferences, among which are the 2013 International Symposium of Stochastic Programming and the 2017 International Conference on Computational Management Science at the University of Bergamo.

Dr. Consigli has an outstanding record of research grants and advanced training grants in the area of computational methods in finance and applied mathematics both at national and international levels, and has proposed and supervised a rich sequence of privately funded R&D projects with large corporations in the areas of enterprise asset-liability management and risk management.

Dr. Consigli is Area Editor for Finance of OR Spectrum (Springer) and the IMA Journal of Management Mathematics (Oxford Univ. Press), and Associate Editor of the Journal of Computational Management Science (Springer), International Journal of Financial Engineering and Risk Management (Inderscience). He has guest-edited 10 special issues with Q1 and Q2 Journals in the areas of quantitative finance, stochastic optimization and decision analysis, and published constantly both in volumes and professional journals as well as in scientific journals, particularly after 2005 (more than 60 articles and chapters). He is Springer author as contributor and with three volumes edited to the Int.l Series of Operations Research and Management Science.

Education
  • PhD in Mathematics, University of Essex (UK), 1998
  • Master in Banking and Finance at La Sapienza (Italy), 1990
  • BSc in Economics, University of Rome La Sapienza (Italy), 1984
Teaching Areas
  • Stochastic Optimization
  • Quantitative Finance
  • Derivatives and Risk management
  • Options theory
  • Portfolio theory
  • Advanced probability theory and statistics for finance
  • Mathematics for Economists
  • Financial mathematics
  • Linear Algebra
  • Introductory Computer Science
Research Interests

Research Topics

  • Optimal financial decision making under uncertainty
  • Stochastic and distributionally robust optimization
  • Decision theory, stochastic dominance
  • Portfolio theory
  • Stochastic models in finance and energy, asset pricing, financial instability
  • Computational methods in finance, decision support tools
  • Institutional and individual asset-liability management

 

Recent Research Projects (last 3 years)

  • INDIVIDUAL ASSET-LIABILITY MANAGEMENT (ALM), WEALTH MANAGEMENT, GOAL-BASED INVESTING, ROBO-ADVISORY, FINANCIAL ENGINEERING FOR INDIVIDUALS
    This area of interest is developing thanks to scientific contributions and the involvement of industry colleagues. After two articles in 2018 and 2019, one of which in cooperation with the Chief Investment Officer of a primary insurance company in Italy, we are currently extending the analysis to propose a goal-based-investing model with insurance protection. This is a research field with remarkable and interesting industry developments and potential. It is also the domain in which, mostly due to an aggressive market policy by software companies and data providers, the area of Fintech is penetrating fast: within my advisory commitments for Allianz in 2017 a thorough analysis of this market segment was developed benefiting ongoing internal individual ALM developments.
    Keywords: long-term household planning, life cycle theory, stochastic dominance, goal-based investing, optimal investment-retirement strategies, robo-advisory, risk-attitude
  • FINANCIAL OPTIMIZATION, SUSTAINABILITY, MACHINE LEARNING
    This is the most recent and comprehensive research commitment with three colleagues from my university and others from the University of Venice and from Polithecnic of Turin. We are all interested to extend previous modeling and topic interests essentially based on portfolio and ALM models to integrate so-called ESG, environmental and social responsibility-based constraints and statistical learning approaches. These latter involve from deep neural networks for asset pricing as well as reinforcement learning approaches to dynamic portfolio management. It is a stream of research I intend to develop in the near future in application areas as individual ALM and asset pricing.
    Keywords: long-term finance, sustainability, goal-based investing, reinforcement learning, deep neural networks, asset pricing, learning-enabled optimization.
  • DYNAMIC PORTFOLIO MANAGEMENT, VOLATILITY TRADING, RISK CONTROL, STOCHASTIC DOMINANCE
    This is mostly a research stream that I carry on with academic colleagues based on my interest in dynamic investment theory in a discrete setting and optimal risk control based on market signals and derivative contracts. I currently have two research articles submitted or under revision with a colleague from Univer. Ca’ Foscari of Venice and with colleagues from Jiaotong University. In the first article, we extend a canonical multistage dynamic model to include complex derivatives portfolios and strategies. In the other article, which is ambitious we are proposing a new stochastic dominance criterion that is applied to portfolio selection. Finally, with the same colleagues from Jiaotong University, we have recently published a paper on dynamic risk control under stochastic volatility and a mixture of copula functions aimed at improving tail control in periods of financial instability.
    Keywords: learning-enabled optimization, derivatives-based dynamic portfolios, equity options, derivatives pricing, incomplete markets, tail risk control, stochastic correlation and DCC models

 

Affiliated Research Centers

  • Director of the FinMonitor Research Center at the University of Bergamo between 2006 and 2011.
  • Member of the Research Center of quantitative finance directed by Professor Michael Dempster at the University of Cambridge between 2005 and 2007.