Industrial-Academic Workshop on Optimization in Finance and Risk Management

September 23 - 24, 2013, The Fields Institute

Location: Fields Institute

Description

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Schedule

Monday, September 23rd, 2013
09:00 to 09:50	The Fundamental Quadrangle of Risk in Optimization and Statistics R. Tyrrell Rockafellar Location:Fields Institute, Room 230
09:50 to 10:15	Experience Computing Efficient Surfaces in Multi-criteria Portfolio Selection Ralph E. Steuer Location:Fields Institute, Room 230
10:15 to 10:40	Value-at-Risk Optimization Oleksandr Romanko, Algorithmics Incorporated, an IBM Company Location:Fields Institute, Room 230
10:40 to 11:30	Accounting for Risk Measure Ambiguity when Optimizing Financial Positions Jonathan Li, University of Ottawa Location:Fields Institute, Room 230
11:30	Current Trends in Portfolio Optimization Reha Tütüncü Location:Fields Institute, Room 230
13:45 to 14:10	Optimal Hedging in an Incomplete Market Thamayanthi Chellathurai Location:Fields Institute, Room 230
14:10 to 14:35	Moments Based Fitting of Kumaraswamy PDF for Estimating VaR in Portfolio Optimization Kumaraswamy Ponnambalam, University of Waterloo Location:Fields Institute, Room 230
14:35 to 15:15	Overview of IBM CPLEX and Its Use in Finance Christian Bliek Location:Fields Institute, Room 230
15:15 to 16:05	Integrating Real and Implied Probability Measures in Asset Liability Management Alan J. King Location:Fields Institute, Room 230
16:05	Credit Risk, Multi-Factor Models, and Optimization Dan Rosen Location:Fields Institute, Room 230

Tuesday, September 24th, 2013
08:50 to 09:40	Stochastic Correlation in Financial Markets Luis Seco Location:Fields Institute, Room 230
09:40 to 10:30	“Bag of Models” Approach for Risk Management: Predicting the Bustout Behavior Hasan Mytkolli Location:Fields Institute, Room 230
10:30 to 11:15	Dynamic Factor Modeling via Robust Subspace Tracking Aleksandr Aravkin, University of Washington Location:Fields Institute, Room 230
11:15 to 11:40	Portfolio Optimization with Non-Normal Returns John Birge, University of Chicago Location:Fields Institute, Room 230
13:45 to 14:10	Multi-Mitigation Strategies for Designing Reliable Supply Chain Networks under Disruption Risks Nader Azad
13:45 to 14:10	Explicit Solutions of Optimal Consumption, Investment and Insurance Problem when There is Regime Switching Bin Zou Location:Fields Institute, Room 230
14:10 to 14:35	On Component Commonality for Assemble-to-Order Systems HONGFENG Liang, McMaster University
14:10 to 14:35	A Theoretical Framework for Government Debt Control: An Explicit Formula for the Optimal Debt Ceiling Ricardo Huaman Location:Fields Institute, Room 230
14:35 to 15:15	Random Matrix Application to Volatility Cross-Correlations Ajay Singh
14:35 to 15:15	Worst-Case Copulas and Mass Transportation in Counterparty Credit Risk Management Amir Memartoluie Location:Fields Institute, Room 230
15:15 to 16:05	A Portfolio Construction Toolkit Jonathan Briggs, CPPIB Location:Fields Institute, Room 230

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