Title: Practical Portfolio OptimizationSpeaker: Prof. Victor DeMiguelAffiliation: London Business SchoolLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. The Nobel laureate Harry Markowitz showed that an investor who cares only about the mean and variance of portfolio returns should hold a portfolio on the efficient frontier. To implement these portfolios in practice, one needs to estimate... Read more »

Title: On the Relation between Forecast Precision and Trading Profitability of Financial AnalystsSpeaker: Prof. Alex WeissensteinerAffiliation: DTU Management EngineeringLocation: Room 217 Huxley BuildingTime: 5:00pmAbstract. We analyze the relation between earning forecast accuracy and expected profitability of financial analysts. Modeling forecast errors with a multivariate Gaussian distribution, a complete characterization of the payoff of each analyst... Read more »

Title: Alternating Maximization: Unifying Framework for 8 Sparse PCA FormulationsSpeaker: Dr. Selin AhipasaogluAffiliation: Singapore University of Technology and DesignLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. Given a multivariate data set, sparse principal component analysis (SPCA) aims to extract several linear combinations of the variables that together explain the variance in the data as much... Read more »

Title: Hard-to-Solve Bimatrix GamesSpeaker: Prof. Bernhard von StengelAffiliation: Depatment of Mathematics - London School of Economics and Political ScienceLocation: CPSE seminar room (C615 Roderic Hill)Time: 2:00pmAbstract. A bimatrix game is a two-player game in strategic form, a basic model in game theory. A Nash equilibrium is a pair of (possibly randomized) strategies, one for each... Read more »

Title: CVaR Approximations for Minimax and Robust Convex OptimizationSpeaker: Prof. Huifu XuAffiliation: School of Engineering and Mathematical Sciences at City University of LondonLocation: Room 218 Huxley BuildingTime: 2:00pmAbstract. Conditional value at risk (CVaR) has been widely used as a risk measure in finance. In this work, we propose to randomize decision variables of a deterministic... Read more »

Title: Distributionally robust control of constrained stochastic systemsSpeaker: Bart Van ParysAffiliation: Automatic Control Laboratory at Swiss Federal Institute of TechnologyLocation: Room 217-218 Huxley BuildingTime: 2:00pmAbstract. We investigate the control of constrained stochastic linear systems when faced with limited information regarding the disturbance process, that is, when only the first and second-order moments of the disturbance... Read more »

Title: Performance-based regularization in mean-CVaR portfolio optimizationSpeaker: Prof. Gah-Yi VahnAffiliation: Management Science and Operations - London Business SchoolLocation: Room 145 HuxleyTime: 2:00pmAbstract. Regularization is a technique widely used to improve the stability of solutions to statistical problems. We propose a new regularization concept, performance-based regularization (PBR), for data-driven stochastic optimization. The goal is to improve... Read more »

Title: Parallel block coordinate descent methods for huge-scale partially separable problemsSpeaker: Martin TakacAffiliation: School of Mathematics - University of EdinburghLocation: CPSE Seminar roomTime: 2:00pmAbstract. In this work we show that randomized block coordinate descent methods can be accelerated by parallelization when applied to the problem of minimizing the sum of a partially block separable smooth... Read more »

Title: Robust Data-Driven Approach in Decision Making Under UncertaintySpeaker: Grani Adiwena HanasusantoAffiliation: Department of Computing - Imperial College LondonLocation: Room 301 William PenneyTime: 4:00pmAbstract. We investigate robust data-driven approach in stochastic optimization problems where partial knowledge on the exogenous uncertainties is available to the decision maker. In contrast to the traditional model-based approach, a data-driven... Read more »

Title: Interdiction Games on Markovian PERT NetworksSpeaker: Eli GutinAffiliation: School of Industrial and Systems Engineering - Georgia Institute of TechnologyLocation: Room 218 Huxley BuildingTime: 3:00pmAbstract. In a stochastic interdiction game a proliferator aims to minimize the expected duration of a nuclear weapons development project, while an interdictor endeavors to maximize the project duration by delaying... Read more »