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美国休斯敦大学彭积明教授来我校做学术报告

应理学院、信息工程学院邀请,美国休斯敦大学工业工程系彭积明教授将来我校进行学术交流,并做学术报告。

报告时间:2014722日周二下午300--400

报告地点:西教五305(理学院)

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

 

 

报告摘要:

Optimization models and methodologies have been widely and successfully used in financial engineering.  In his seminal

 work in 1950s, Markowitcz introduced the mean-variance model, which opened an era of modern portfolio theory. Though there is a

 rich literature on the study of the mean-variance model and its variants, there exists a long-standing issue that the solution to the

mean-variance model is very sparse and leads to the so-called idiosyncratic risk. Moreover, as a consequence of the recent financial crisis,

numerous optimization models have been proposed to estimate and control the risk in financial market and these problems are usually

non-convex with mixed integer constraints.

In this talk, we present some recent advance in our research in portfolio selection, asset deleveraging and systemic risk estimate. 

 

报告人概况:

Jiming Peng received his PhD degree in operations research in 2001 from Delft University of Technology, the Netherlands. He is at present an assistant 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 in financial engineering and big data. 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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