Real Options Were Never Real: Operationalizing Bellman, Markowitz and Modigliani-Miller and What Follows for Governed AI and the Future of the ERP
-
Thierry Brutman -
-
Wed 14 Oct 2026
-
18:00 - 19:00 BST
Online
Event Description
Three of the foundations of modern finance are taught everywhere and applied almost nowhere. Bellman’s dynamic programming, sixty-eight years old, is recognised as the correct way to think about sequential decision under uncertainty, and is almost never used to steer a company. Markowitz’s framework, seventy-four years old, is applied to portfolios of securities and not to portfolios of strategic alternatives. The Modigliani-Miller propositions, sixty-three years old, describe an equilibrium and say nothing about what to do on Monday morning.
This talk argues that what stood in the way was never the mathematics. It was the absence of a state space an enterprise can actually populate, of an admissible set its own constraints define, and of a value function its own figures feed. Real option theory attempted that bridge and failed for a structural reason: in a corporate decision the spot and the strike are not of the same economic nature, and treating them as though they were produces prices no practitioner will act upon.
The second half turns to what follows. Once decisions carry their own basis — every parameter declaring where it comes from, every estimate the band within which it may sit, every conclusion testable against its own inputs being wrong — the same architecture that governs a firm governs an autonomous agent. That is precisely the discipline artificial intelligence lacks when it is asked to decide rather than to describe. It is also why real-time management control no longer requires the weight, the implementation cycle or the cost of a conventional enterprise resource-planning system.
The session will close on the question the audience is best placed to judge: not whether a model is elegant, but what an enterprise stops needing once its decisions carry their own basis.
Speaker
Thierry Brutman
Thierry H. Brutman is an Investment Banker under FINRA through a chaperone agreement, and a Registered Investment Adviser under French law (Conseiller en Investissements Financiers, ORIAS 18003732, AMF). He is Research Manager of the EDDA Stock Finance Research Laboratory, and postgraduate-qualified in both law and economics from leading French universities.
His contribution has been to render operational, for the first time, three foundational theories long held to resist practical application: Bellman’s dynamic programming after sixty-eight years, Markowitz’s framework applied to the enterprise after seventy-four, and the Modigliani-Miller propositions read ex ante after sixty-three. From this follow the decision instruments his laboratory develops — the BOS, an option structure on the right to act; the BFI, an index of flexibility integrating the paths to a result; and the MRI, which sets the limit beyond which further commitment ceases to be rational.
These are embodied in VÖLVAS, the first decision-architecture software conceived as a brain for the enterprise rather than as a reporting system — an artificial intelligence used as middleware between a company’s own figures and the decisions they should carry, in which every parameter declares its basis, every estimate the band within which it may sit, and every conclusion remains testable against its own inputs being wrong.
He is published in Wilmott Magazine and in the Springer and IOS Press conference proceedings, and was named Innovative Financial Investment Adviser of the Year (UK/USA) for 2025-2026 and again for 2026-2027. He has been keynote speaker at ICFT in 2025 and 2026, invited speaker at CTIS in 2025 and 2026, at AIIPCC in 2025, and at ArtInHCI and CECNet in 2026, and sits on the technical committee of AIIPCC 2026, having received its third prize in 2025 for work combining artificial intelligence and finance. He presented the BOS and BFI as financing mechanisms for public-private partnerships before fifty-five national delegations at the UNECE in Geneva, and contributes to the UNECE working group on resilient concession contracts; a forthcoming paper extends the framework to monetary issuance and the financing of public expenditure. His models are protected by United States provisional patents and registered copyrights.