Complex Fluids and Complex Flows,
September 1, 2009 - June 30, 2010
IMA/MCIM Industrial Problems Seminar
2009-2010
570 Vincent Hall
September 11, 2009, 1:25pm, 570 Vincent
Hall
Christopher Bemis (Whitebox Advisors)
http://www.math.umn.edu/~bemis/
Robust portfolio optimization using a cross sectional
factor model
Video
(flv) Slides
Abstract: Active portfolio
management has developed substantially since the
formulation of the Capital Asset
Pricing Model (CAPM). While the original methodology of
portfolio
optimization has been lauded, it is
essentially an academic exercise, with practitioners
eschewing the
suggested
weightings. There are myriad
reasons for this: nonstationarity of data, insufficiency of
modeling
parameters, sensitivity of optimization
to small perturbations, and assumption of uniform investor
utility all
indicate potential failures in the
model.
We present historical market data to exhibit the pitfalls
outlined above.
From this analysis, we proceed to examine robust portfolio
construction
methods. One in particular is provided by Goldfarb and
Iyengar. We adapt
their methodology to a cross sectional model for returns and
examine the
performance we achieve.
October 23, 2009, 1:25pm, 570 Vincent
Hall
Todd Plantenga (Sandia National
Laboratories)
Optimization algorithms for applications in industry
Abstract:
The talk will describe the speaker's experience in designing
and implementing
optimization algorithms for applications in industry.
Discussion will focus
on a retail price optimization algorithm that uses stochastic
methods to handle
uncertainties. The project started with a textbook approach
(stochastic
optimization with recourse) and evolved into a special purpose
solution
suited to the business case. The speaker was directly involved
in gathering
requirements, prototyping a mathematical model and algorithmic
approach,
investigating issues with real world data, and writing
production software
for the final implementation. The completed project currently
recommends
optimal prices on over 10,000 items per day.
Dr. Plantenga obtained a PhD from Northwestern University in
1994 studying
large-scale nonlinear optimization methods. He has developed
optimization
software for PeopleSoft/Oracle, Gap Inc, Ziena Optimization,
and
his current employer, Sandia National Laboratories.
December 4, 2009 (tentative), 1:25pm, 570 Vincent
Hall
J. Michael Gray
(Medtronic)
Title: TBA
Abstract:
December 18, 2009, 1:25pm, 570 Vincent
Hall
Lalitha Venkataramanan
(Schlumberger)
http://www.seed.slb.com/subcontentbr.aspx?id=2312
Title: TBA
Abstract:
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