Events/Seminars/Seminar63
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Thalesian Seminar (San Francisco) — Prof. Alper Atamturk — Implications of Conic Optimization for Portfolios and Risk
Date and Time
7:00 p.m. on Wednesday, 8th February, 2012.
Venue
Rms 5312 GGU, 536 Mission St, San Francisco
Meetup.com
Members can register for this event on Meetup.com: http://events.thalesians.com/events/46755972/
Abstract
Portfolio optimization is going through a revolution with the recent algorithmic advances in conic optimization. By generalizing quadratic optimization, conic optimization allows new ways of modeling and solving a broader class of risk optimization problems efficiently. In this talk, we will give a brief introduction to conic optimization and describe applications in factor modeling, portfolio optimization, transaction cost modeling, value-at-risk minimization. We will go over new techniques for solving hard mixed-integer conic optimization problems. Finally, we will introduce the recently launched Bloomberg Portfolio Optimizer built on top of this new technology.
Speaker
Alper Atamturk is a chancellor's professor in the Department of Industrial Engineering & Operations Research at the University of California-Berkeley and head of optimization research at Bloomberg LP. He received his Ph.D. from the Georgia Institute of Technology in 1998 with a major in Operations Research and minor in Computer Science. His research interests are in the broad area of optimization, including conic optimization, mixed-integer programming, and robust optimization with applications to finance and operations.
He serves on the editorial boards of Journal of Risk, Discrete Optimization, Operations Research, and Networks. He regularly serves on the organizing committees of optimization conferences. He served as elected vice chair-integer programming of INFORMS Optimization Society. Professor Atamturk was appointed a national security fellow by the US Department of Defense in 2010.
Sponsorship
The Thalesians gratefully acknowledge the support of the Golden Gate University Finance Club as a sponsor.
