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Natwest Markets held (in their words) the first quant conference organised by a bank on the 21st of June. Strong words and not something I can really verify. But I went along to this conference and this post is a summary of the talks that I found interesting. It kicked off with Vladimir Piterbarg talking about the optimal investment problem. This deals with the dynamic allocation of money to risky and riskless assets to maximise some utility function. He outlined two different approaches, one wh...