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Cluster: Finance & economics


10:30 - 12:00, room: H 3027

Chair: Giorgio Consigli
Applications of stochastic programming to finance and insurance

Consiglio Convex lower bounding to generate multi-asset, arbitrage-free, scenario trees [...]
Gulpinar Robust investment decisions for asset liability management [...]
Consigli Institutional asset-liability management for a large P&C insurance company [...]


13:15 - 14:45, room: H 3027

Chair: Thomas F. Coleman
New developments in computational finance

Coleman On the use of automatic differentiation to efficiently determine first and second derivatives in financial applications [...]
Fonseca Robust value-at-risk with linear policies [...]
Reisinger The effect of the payoff on the penalty approximation of American options [...]


15:15 - 16:45, room: H 3027

Chair: Walter Farkas
Risk management in finance and insurance

Farkas Acceptability and risk measures: effectiveness, robustness and optimality [...]
Munari Risk measures and capital requirements with multiple eligible assets [...]
Pouliot Value-at-Risk [...]




10:30 - 12:00, room: H 3027

Chair: John Birge
Portfolio optimization

Ortobelli Lozza On the impact of some distributional factors in large scale portfolio problems [...]
Gotoh Robust portfolio techniques for coherent risk minimization [...]
Shioda Factor alignment problem in quantitative portfolio management [...]


13:15 - 14:45, room: H 3027

Chair: Yuying Li
Financial optimization

Li A novel method for computing an optimal VaR portfolio [...]
Lin First-order algorithms for optimal trade execution with dynamic risk measures [...]
Moazeni Regularized robust optimization for optimal portfolio execution [...]


15:15 - 16:45, room: H 3027

Chair: Galina Vakulina
Applications and algorithms

Joannopoulos Feeding cost optimization of several diet formulations and environmental impact in the swine industry [...]
Satoshi 2-approximation algorithms for the winner determination problem in VCG based single-item multi-unit auctions [...]
Vakulina Project risks analysis using approach of fuzzy sets theory [...]




10:30 - 12:00, room: H 3027

Chair: Florentina Paraschiv
Price dynamics in energy markets

Erdős Have oil and gas prices got separated? [...]
Schuerle Price dynamics in gas markets [...]
Paraschiv Modelling negative electricity prices [...]


13:15 - 14:45, room: H 3027

Chair: Wei Xu
Optimization methodologies in computational finance

Fulga Portfolio optimization with a new quantile-based risk measure and prior AHP stock ranking [...]
Xu A new sampling strategy willow tree method with application to path-dependent option pricing [...]
Shupo Optimal promotion rate in a cash campaign [...]


15:15 - 16:45, room: H 3027

Chair: Dan Andrei Iancu and Nikos Trichakis
Management of portfolios and liabilities

Martín-Utrera Size matters: Calibrating shrinkage estimators for portfolio optimization [...]
Trichakis Fairness in multi-portfolio optimization [...]
Júdice Long-term bank balance sheet management: Estimation and simulation of risk-factors [...]




10:30 - 12:00, room: H 3027

Chair: Nikos Trichakis and Dan Andrei Iancu
Risk management in financial markets

Tsoukalas Dynamic portfolio execution [...]
Feinstein Set-valued dynamic risk measures [...]
Gupta A data-driven approach to risk preferences [...]


13:15 - 14:45, room: H 3027

Chair: Kenneth Judd
Optimization and economic applications

Lozano Choosing the best partner for a horizontal cooperation [...]
Meng An interior-point path-following method for computing equilibria of an exchange economy with linear production technologies [...]
Tatar Asymptotic stability for the endogenous Solow model with discrete and distributed delays [...]


15:15 - 16:45, room: H 3021

Chair: Eligius M.t. Hendrix
Modern portfolio optimization

Özekici Portfolio selection with hyperexponential utility functions [...]
Hendrix On finding optimal portfolios with risky assets [...]


15:15 - 16:45, room: H 3027

Chair: Janos Mayer
Applications in finance

Ekblom Optimal hedging of foreign exchange risk in uncertain cash flows using stochastic programming [...]
Barkhagen An optimization based method for arbitrage-free estimation of the implied risk neutral density surface [...]
Mayer Portfolio optimization with objective functions from cumulative prospect theory [...]




10:30 - 12:00, room: H 3021

Chair: Marius Radulescu
Portfolio selection problems

Radulescu Portfolio selection models with complementarity constraints [...]
Radulescu The efficient frontiers of mean-variance portfolio selection problems [...]


10:30 - 12:00, room: H 3027

Chair: Yuichi Takano
Optimal control

Mukhopadhyay A socio-economic production quantity (SEPQ) model for imperfect items with pollution control and varying setup costs [...]
Takano Control policy optimization for dynamic asset allocation by using kernel principal component analysis [...]


13:15 - 14:45, room: H 3021

Chair: Apostolos Fertis and Victor Demiguel
Risk management under probability model misspecification

Wozabal Robustifying convex risk measures: A non-parametric approach [...]
Demiguel Stock return serial dependence and out-of-sample portfolio performance [...]


13:15 - 14:45, room: H 3027

Chair: Kenneth Judd
Generalized nash equilibrium problems

Renner Computing generalized Nash equilibria by polynomial programming [...]
Spieksma Testing rationality: algorithms and complexity [...]
Couzoudis Finding all generalized Nash equilibria [...]


15:15 - 16:45, room: H 3021

Chair: Teemu Pennanen
Optimization in financial markets

Schoenmakers Multilevel primal and dual approaches for pricing American options [...]
Perkkiö Stochastic programs without duality gaps [...]
Becherer Optimal sparse portfolios in continuous time [...]


15:15 - 16:45, room: H 3027

Chair: Marta Becker Villamil
Decision making

Villamil Modelling and simulation of social segmentation with individual and competitive parameters [...]
Hernández Ramírez The amplitude model and regret model in decision making under uncertainty [...]



Program -> Parallel Sessions -> Cluster List -> Details all clusters
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