CIM PROGRAMS AND ACTIVITIES

September 16, 2014

 



Industrial-Academic Workshop on Optimization in Finance and Risk Management

October 3-4, 2011
hosted by the Fields Institute, 222 College Street, Toronto, Map

Organizing Committee
Antoine Deza, McMaster University
Matheus R. Grasselli, McMaster University
Thomas R. Hurd, McMaster University
Oleksandr Romanko, McMaster University & Algorithmics Inc.

Please Register on-site October 3 & 4
Online to September 29: $50 CAD for students/postdocs, $100 CAD for academia/industry/

Onsite registration October 3: $75 CAD for students/postdocs, $150 CAD for academia/industry.
( Fees waived for invited speakers, organizers and sponsors)

Tentative Program Invited Speakers
Abstract submission for Oral and Poster Presentations
The workshop web-site is www.optimization-in-finance.ca

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
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
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  
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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