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Industrial-Academic Workshop
on Optimization in Finance and Risk Management
October 3-4, 2011
hosted by the Fields Institute, 222 College Street, Toronto,
Map
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Organizing Committee
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Antoine Deza, McMaster
University
Matheus R. Grasselli, McMaster University
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Thomas R. Hurd, McMaster
University
Oleksandr Romanko, McMaster University & Algorithmics
Inc.
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The workshop is sponsored by Fields Institute, Mitacs and Algorithmics Inc. Informational sponsor
of the workshop is Professional Risk Managers' International Association (PRMIA).
The workshop is supported by Canadian Operational Research Society (CORS).
The workshop is organized with support from Fields Industrial Optimization
Seminar Series, Fields Seminar
Series on Quantitative Finance, PRMIA Risk
Management Seminar Series and Mitacs Elevate
Postdoctoral Fellowship Program.
Introduction
The recent global financial crisis has made risk management and financial
stability a foremost concern of regulatory agencies and corporations worldwide.
Given the rapidly expanding scope and complexity of risk-aware management
and finance, mathematical innovation is central to the field. Notably, numerical
optimization, which, e.g., automates the construction of portfolios that best
meet specified requirements, is finding novel uses in the field of finance
and risk management. Optimization techniques can serve as one of the tools
for financial institutions and companies to find better solutions and improve
decision-making.
The list of the topics to be covered during the workshop includes, but not
limited to:
- Modeling and optimization in finance and risk management
- Large-scale financial optimization
- Optimization algorithms and software
- Stochastic optimization
- Robust optimization
- Multi-objective optimization
- Portfolio selection and management
- Modeling different types of risk
- Optimizing risks in risk management
- Asset and liability management
- Asset pricing and index funds
- Capital budgeting and allocation
With many theoretical, numerical and computational advances that have been
recently developed in the field of optimization techniques, their potential
applicability in finance and risk management remains to be established. The
workshop is aimed to bridge the gap between academic research in optimization
and practical financial and risk management applications of such techniques.
It aims to bring together both academia and industrial practitioners. The
third party that panned to be involved are the developers of commercial and
open-source optimization solvers and modeling languages that provide the interface
between the financial optimization model and its solution to be implemented.
Establishing research links between the industry and academia as well as
promoting organizations such as Fields Institute and MITACS that support such
collaboration is another workshop goal. The idea of transforming this workshop
into a regular event will be discussed during the workshop.
Format
The workshop will include:
- Distinguished lectures by leading academic and industrial researchers
and practitioners;
- Contributed talks on recent research advances;
- Postdoctoral fellow/graduate student research poster competition;
- Panel discussion "New Trends and Challenges in Using Optimization
to Improve Decision-Making in Finance and Risk Management - Industrial Perspective";
- Academia-industry connector and networking event.
Invited Speakers
John R. Birge, University of Chicago
Thomas F. Coleman, University of Waterloo
Helmut Mausser, Algorithmics Inc.
John M. Mulvey, Princeton University
Robert Stubbs, Axioma Inc.
Stan Uryasev, University of Florida and American Optimal Decisions
Inc.
Program
| Monday - October 3 |
| 8:30 - 8:50 |
On-site registration and coffee |
| 8:50 - 9:00 |
Welcome and Introduction |
| 9:00 - 9:50 |
John R. Birge
Optimal Portfolio Construction with Estimation Error, Non-normal Returns,
and Large Numbers of Assets |
| 9:50 - 11:05 |
Contributed presentations (3 talks, 25 minutes each)
Gah-Yi Vahn
Estimation Error Reduction in Portfolio Optimization with Conditional
Value-at-Risk
Yang Li
On Mean-Variance Analysis of Derivative Portfolio
Aurelie Thiele
Log-Robust Portfolio Management |
| 11:05 - 11:30 |
Coffee Break |
| 11:30 - 12:20 |
Helmut Mausser
Bias, Exploitation and Proxies in Scenario-Based Risk Minimization
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| 12:20 - 2:00 |
Lunch Break |
| 2:00 - 3:15 |
Contributed presentations (3 talks, 25 minutes
each)
Oleksandr Romanko
Multiobjective and Robust Optimization in Finance and Risk Management
Jonathan Li
Portfolio Selection under Model Uncertainty: A Penalized Moment-Based
Optimization Approach
Thamayanthi Chellathurai
Markowitz Principles for Multi-period Portfolio Selection Problems with
Moments of Any Order and Wealth Constraints |
| 3:15 - 4:05 |
John M. Mulvey
Advances in Portfolio Allocation Models: Lessons from the Past Decade |
| 4:05 - 4:30 |
Coffee Break and Networking |
| 4:30 - 5:45 |
Contributed presentations (3 talks, 25 minutes each)
Iouldouz Raguimov
On the Efficiency of Solutions of Stochastic Optimal Control Problem
with Discrete Time
Qihang Lin
Computations of the Risk-Averse Strategies for Optimal Trade Execution
Bhaskar DasGupta
On Vulnerability of Banking Networks |
| 5:45 - 6:00 |
Mitacs presentation |
| 6:00 - 7:30 |
Workshop Reception Fields Atrium |
| Tuesday - October
4 |
| 8:30 - 9:00 |
Coffee |
| 9:00 - 9:50 |
Sebastiano Silla
Indifference Valuation for Guaranteed Annuity Options Using the Explicit
Solution for a Class of Stochastic Optimal Control Problems
Harry Zheng
On Pricing Basket Credit Default Swaps |
| 9:50 - 10:40 |
Stan Uryasev
Risk Quadrangle and Applications in Day-Trading of Equity Indices
*PDFs of Prof. Uryasev's The
Fundamental Risk Quadrangle in Risk Management, Optimization and Statistical
Estimation and
Protecting Equity Investments:
Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios |
| 10:40 - 11:05 |
Coffee Break |
| 11:05 - 12:20 |
Tao L. Wu
An Equilibrium Model with Buy and Hold Investors
Sheran Deng
Balance Sheet Adjustment and Post-Crisis Policy Choice
Kai Huang
Inventory Pricing Schemes of a Newsvendor |
| 12:20 - 2:00 |
Lunch Break |
2:00 - 2:50 |
Robert Stubbs
Factor Alignment Problems in Optimized Portfolio Construction
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| 2:50 - 3:40 |
Thomas F. Coleman
Risk Management of Portfolios by CVaR Optimization |
| 3:40 - 4:00 |
Coffee Break |
| 4:00 - 5:15 |
Panel Discussion: New Trends and Challenges in Using
Optimization to Improve Decision-Making in Finance and Risk Management
- Industrial Perspective
Panelists and a Moderator TBA |
| 5:15 - 5:30 |
Concluding Remarks
Short Q & A Session |
| 5:30 - 6:30 |
Academia-Industry Connector and Networking Event
Fields Atrium |
Registration and Abstract Submission
Workshop fee
- Online registration (till September 29): $50 CAD for students/postdocs,
$100 CAD for academia/industry;
- Onsite registration: $75 CAD for students/postdocs, $150 CAD for academia/industry.
Abstract submission for contributed talks and
posters (submit
an abstract)
- Submit your title and abstract if you wish to present a contributed talk
(25 minutes) or a contributed poster;
- Specify the preferred choice between oral presentation and poster presentation
(Note: the organizing committee keeps the right to convert oral presentations
into posters if there are not enough slots for contributed talks in the
program; contributed oral presentations should be submitted before September
20, abstracts submitted after that date automatically become poster submissions).
Participation support for students and postdoctoral
fellows
- Students and postdoctoral fellows can apply for travel support;
- Only participants submitting a contributed talk or a poster are eligible
for travel support.
Registered Attendees, as of September 30, 2011:
| Full Name |
University Name |
| Aldossari, Fahad |
SAMA |
| Arora, Tushar |
Scotia Capital |
| Baek, Sanghoon |
University of Ottawa |
| Ben Moshe, Eran |
Tel-Aviv University |
| Birge, John R. |
University of Chicago |
| Briggs, Jonathan |
CPPIB |
| Caia, Claudia |
Scotiabank |
| Calitoiu, Dragos |
Bank of America |
| Cao, Jinghua |
Scotiabank |
| Chang, Lu (Cindy) |
University of Waterloo |
| Chellathurai, Thamayanthi |
Bank of Montreal |
| Chen, Michael |
York University |
| Colak, Pinar |
Simon Fraser University |
| Coleman, Thomas F. |
University of Waterloo |
| DasGupta, Bhaskar |
University of Illinois at Chicago |
| Davison, Matt |
University of Western Ontario |
| Deng, Sheran |
World Bank |
| Deza, Antoine |
McMaster University |
| Dhaliwal, Gurjot |
University of Waterloo |
| Draviam, Thangaraj |
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| Fenton, Greg |
Axioma Inc. |
| Grasselli, Matheus |
McMaster University |
| Guo, Qiang |
Scotiabank |
| Hadden, James |
University of Western Ontario |
| Haghighi, Maryam |
University of Ottawa |
| Hao, Howard |
Scotiabank |
| Huang, Kai |
McMaster University |
| Hurd, Tom |
McMaster University |
| Jackson, Ken |
University of Toronto |
| Kreinin, Alexander |
Algorithmics Incorporated |
| Kumar, Manish |
Indian Institute of Technology Madras |
| Li, Jonathan Y. |
University of Toronto |
| Li, Yang |
Rotman School of Management, University of Toronto |
| Liang, Hongfeng |
McMaster University |
| Lin, Mao Zhong |
University of Toronto |
| Lin, Qihang |
Carnegie Mellon University |
| Mallahi Karai, Keivan |
Jacobs University |
| Mallory, Julie |
University of Toronto |
| Marshall, James |
University of Western Ontario |
| Martinez, Gabriela |
University of Minnesota |
| Mausser, Helmut |
Algorithmics Incorporated |
| Metel, Michael |
TD Bank Group |
| Moud, Kamyar |
New York Univeristy |
| Mulvey, John M. |
Princeton University |
| Navaneetha Krishnan, Sathis Babu |
Macquaire Bank |
| Ordine, Andrei |
Ontario Teachers' Pension Plan |
| Ponnambalam, Kumaraswamy |
University of Waterloo |
| Powers, Michael |
Mitacs |
| Raguimov, Iouldouz |
York University |
| Romanko, Oleksandr |
McMaster University and Algorithmics Inc. |
| Rosen, Dan |
R˛ Financial Technologies Inc. |
| Salisbury, Thomas |
York University |
| Samadov, Maksym |
Algorithmics |
| Sawh, Deitra |
University of Waterloo |
| Shahbaghyan, Ruben |
Bank of America |
| Shen, ShengWei |
McMaster University |
| Shupo, Assaf |
Bank of America |
| Silla, Sebastiano |
Polytechnic University of Marche |
| Smith, Jamie |
University of Waterloo |
| Sohrabi, Yousef |
Scotiabank |
| Soltani, Kiumars |
UBC Okanagan |
| Song, Dong |
EDHEC Risk Institute |
| Stubbs, Robert |
Axioma, Inc. |
| Thiele, Aurélie |
Lehigh University |
| Tsianos, Vasileios |
University of Toronto |
| Uryasev, Stanislav |
University of Florida & American Optimal Decisions Inc. |
| Vahn, Gah-Yi |
University of California, Berkeley |
| Vaidyanathan, Vijayavani |
CGA |
| Verma, Ritesh |
H.P University |
| Wang, Lulu |
University of Toronto |
| Wang, Yadong |
Scotiabank |
| Wu, Tao |
Illinois Institute of Technology |
| Xu, Victor |
OPSEU Pension Trust |
| Yung, Otto |
University of Toronto |
| Zdanovich, Andrey |
Algorithmics Software LLC |
| Zhao, Matthew |
OP Trust |
| Zheng, Harry |
Imperial College |
| Zhu, Dian |
Scotiabank |
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