Optimization Modelling in Business and Government

a conference in honour of the 80th birthday of John Mulvey

October 28 - 30, 2026, The Fields Institute

Location: Fields Institute, Room 230

Description

This conference will bring together leading researchers from across the world on important applications of optimization to business and government. The conference will highlight the diverse applications of largescale optimization modeling to support real-world decision-making. Areas of optimization covered may include

- novel methodologies for optimal decision-making using machine learning, artificial intelligence, large language models, quantum computing, etc.
- services and portfolio management
- environmental sustainability
- sovereign debt
- climate change, and
- political risk.

Conference Photos

Schedule

Wednesday, October 28th, 2026
13:15 to 13:30	Introduction & Opening Remarks
13:30 to 14:00	Aggregate confusion in the political risk of markets and portfolios Stavros Zenios, Durham University
14:00 to 14:30	An Analytical Framework for Reverse Stress Testing Rosella Giacometti, university of Bergamo
14:30 to 15:00	Coffee Break
15:00 to 15:30	Data-driven hedging with Generative models Rama Cont, University of Oxford
15:30 to 16:00	Optimal portfolios under net-zero targets Rudi Zagst, Technical University of Munich
16:00 to 16:30	Agentic Artificial Intelligence for Portfolio Modeling and Optimization Oleksandr Romanko, SS&C Algorithmics and University of Toronto

Thursday, October 29th, 2026
09:30 to 10:00	Integrating Simulation, Optimization and Reinforcement Learning for Supply Chain and Operations Planning Haitao Li, University of Missouri - St. Louis
10:00 to 10:30	Dynamic Portfolio Optimization with Regime-Switching and Transaction Costs Roy Kwon, University of Toronto
10:30 to 11:00	Coffee Break
11:00 to 11:30	From Goal-Based Portfolios to Insurance ALM: Implementing SDDP with Open-Source Tools Lorenzo Reus, Universidad de Chile
11:30 to 12:00	Risk Quadrangle and Applications in Statistics, Data Mining, and Portfolio Optimization Stan Uryasev, Stony Brook University
12:00 to 14:00	Lunch (on your own)
14:00 to 14:30	ETFs and the Declining Index Inclusion Effect: Implications for Optimal Index Tracking Koray Simsek, Rollins College
14:30 to 15:00	Coffee Break
15:00 to 15:30	Risk Evaluation and Optimization of Multi-Agent System Darinka Dentcheva, Stevens Institute of Technology
15:30 to 16:00	Pricing and managing extreme natural risk: a policy making perspective Giorgio Consigli, Khalifa University
16:00 to 16:30	Optimal Benchmark Orientation: Endogenous Tracking Intensity and Mandate Design Chanaka Ediriisinghe, Rensselaer Polytechnic Institute
17:30	Dinner Location:Blessing in Disguise Bistro & Pub - 150 John St.

Friday, October 30th, 2026
09:30 to 10:00	Technology Portfolio Optimization and Innovation Subsidies Andrea Belz, University of Southern California
10:00 to 10:30	Sovereigns on thinning ice: Debt sustainability, climate impacts, and adaptation Andrea Consiglio
10:30 to 11:00	Coffee Break
11:00 to 11:30	Adapting to Our Future Climate Ron Dembo, RiskThinking.AI
11:30 to 12:00	Dynamic Portfolio Optimization with Transaction Costs John Birge, University of Chicago
12:00 to 13:30	Lunch (on your own)
13:30 to 14:00	Federated Calculation of the Transportation Barycenter by a Dual Subgradient Method Andrzej Ruszczynski, Rutgers University
14:00 to 14:30	Wealth Optimization: Risk, return, liquidity & goals through an investor’s lifecycle Dan Rosen, d1g1t Inc.
14:30 to 15:00	Coffee Break
15:00 to 15:15	Introduction and Tribute to John Mulvey Stavros Zenios, Durham University
15:15 to 16:15	Making Progress on Multi-Period Financial Models: Lessons from Reinforcement Learning John Mulvey, Princeton University

Registered Participants

Name	Affiliation
Salih Abdalla	SADA Academy
Nisar Ahmad	University of Science and Technology of China
Rafique Ahmad	Begum Nusrat Bhutto Women University
Naeem Ahmed	University of Sindh, Jamshoro, Pakistan
Ali Akbar	University of Science and Technology of China
Ahmad Ali	Toronto Metropolitan University
Lemonte Alie-Lamarche	Royal Bank of Canada
German Almanza	Universidad Autonoma de Ciudad Juarez
Morta Baky Haskuee	The Fields Institute
Eseosa Belo-Osagie	University of Waterloo
Andrea Belz	University of Southern California
Yulia Bibilo
John Birge	University of Chicago
Omar Bouaouina	McMaster University
Nathan Brasse
Brian Ceco	University of Toronto
Rishab Chakraborty	Queen's University
Vedant Choudhary	University of Toronto
Giorgio Consigli	Khalifa University
Andrea Consiglio
Rama Cont	University of Oxford
Kara D costa
Ron Dembo	RiskThinking.AI
Darinka Dentcheva	Stevens Institute of Technology
Nguyen Anh Thu Dinh	University of Toronto
Ryan Doherty	Empower Health
Chanaka Ediriisinghe	Rensselaer Polytechnic Institute
Hafize Erkan	Fairfax Financial
Rosella Giacometti	university of Bergamo
Riya Goyal	New Jersey Institute of Technology
Ji Guan	Cornerstone Montessori Prep School
Alfred Guiffrida	Kent State University
Samuel Gyamerah	Toronto Metropolitan University
Jamil Abbas Haider	Howard University
Sahel Hajivand	Farm Credit Canada
Kam Hazaveh	LAAB Fund
Ernesto Icogo
Kennedy Idu	University of Toronto
Alex Ka
Taisei Kabashima	University of Toronto
Dipendra Karki	Tribhuvan University
Boris Klebanov	Regaly
Petter Kolm	Department of Finance, Miami Herbert Business School, University of Miami
Antonios Koutsouris	National Technical University of Athens
Roy Kwon	University of Toronto
Kathryn Kyte
Terry Lam	University of economics ho chi minh city
Jose H. Leon-Janampa	JHL Quantitative Analysis Ltd.
Bintao Li
Haitao Li	University of Missouri - St. Louis
Sebastian Li	RBC Wealth Management
Keyin Liu	University of Toronto
Xianwei Li	Royal Bank of Canada
Xuanze Li	University of Toronto
Brennan Lu
Gopal Mahadevan
Robert McCann	University of Toronto
Usama Mehboob
Rafael Mendoza Arriaga	SS&C Algorithmics
Mohammadreza Mohammadi	University of Toronto
John Mulvey	Princeton University
Siddharth Nand	Teranet
Serena Nath
Roger Nguyen
Vandal Nicholas	oiiov
Shilei Niu	University of Waterloo
Cathy Ong Ly	Royal Bank of Canada
Ebru Öter
Laura Pulgarin	Western University
Mert Rassa	University of Toronto
Lorenzo Reus	Universidad de Chile
Foxtrot Riemers
Milena Rocha	federal university of uberlandia
Oleksandr Romanko	SS&C Algorithmics and University of Toronto
Dan Rosen	d1g1t Inc.
Adeeb Rouhani	York University
Hossein Rouhvarzi	McMaster University
Andrzej Ruszczynski	Rutgers University
Zahra Sarayloo	University of Waterloo
Vahid Sarhangian	University of Toronto
Vahid Sarhangian	University of Toronto
David Saunders	University of Waterloo
Shubhankar Shubhankar	Western University
Billy Sievers	McMaster University
Koray Simsek	Rollins College
Sneha Sneha	Toronto Metropolitan University
Vahid Soleimany	Apple
Leonardo Spindler	ISEG, Universidade de Lisboa
Marios Stathakopoulos	Father bressani CHS
Nikolas Topaloglou	Athens University of Economics and Business
Stan Uryasev	Stony Brook University
Yihang Wu	University of Toronto
Lei Yu	Tongji University
Rudi Zagst	Technical University of Munich
Stavros Zenios	Durham University
Zhenfu Zhang	Royal Bank of Canada