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休斯顿大学彭继明教授学术报告通知
发布时间 : 2015-06-01     点击量:

    应数学与统计学院邀请,休斯顿大学彭继明教授于2015.6.4访问我校进行科研合作交流活动,作如下报告

报告题目:Opportunities and Challenges in Optimization for Financial Engineering

报告时间:2015年6月4日(星期四)下午4:00-6:00          

报告地点:理科楼202

报告摘要: Various optimization models and techniques have been widely used in financial engineering for a long time. In 1950s, Markowitz first introduced the well-celebrated mean-variance model, an elegant convex quadratic optimization model to minimize the risk in the portfolio. Markowitz’s work opened the new era of modern portfolio theory and a large literature has been built upon the mean-variance model and its variance. However, in spite of the large literature, there exists a long-standing issue in the study of the mean-variance model, i.e., the solution from the model is usually very sparse, leading to the so-called idiosyncratic risk. Moreover, recent financial crisis has led to numerous new optimization models that usually involve in nonconvex objective and mixed integer and nonconvex constraint sets.In this talk, we present several recent advances in our research regarding sparse solutions in portfolio selection, asset deleveraging, systemic risk estimate and country risk ranking.

报告人简介:Jiming Peng received his PhD degree in operations research in 2001 from Delft University of technology, the Netherlands. He is at present an associate professor in the department of industrial engineering, University of Houston. Previously he worked in McMaster University in Canada, and University of Illinois at Urbana-Champaign.  His research interest covers several branches in optimization, with a recent focus on the development of effective algorithms for large-scale non-convex and mixed integer programming, with applications from big data, finance and computer vision. He has published a research monograph and about sixty peer-reviewed papers.   He and his student have received numerous awards for their research contribution in optimization and financial engineering including Stieljes prize in Holland (2001),   finalist of Tucker prize (2003), primer research excellence award from Ontario (2003),  first runner-up for the annual Morgan Stanley Prize for Excellence in Financial Market (2012), best research paper award in financial service, Informs (2013).

 

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