From y.l.cheung@hotmail.com Thu Sep 24 22:48:14 2009
Date: Thu, 24 Sep 2009 22:48:06 -0400
From: Vris Cheung <y.l.cheung@hotmail.com>
To: Henry Wolkowicz <hwolkowi@uwaterloo.ca>
Subject: abstract of the talk

Hi Henry,

I drafted an abstract for the talk on next Thursday, could you take a
look and see if it is alright??


***************************************

Title:

Robust Optimization: applications in portfolio selection problem


Abstract:

In recent years, there has been a growing interest in the use of
robust optimization models in finance, in the hope that the optimal
investment strategies computed via appropriate robust optimization
models can be less vulnerable to uncertainty in estimation of
parameters.  Some studies show that robust optimization outperforms
the classical models significantly (for instance, by reducing the
volume of portfolio re-balancing and thereby the potentially huge
transaction costs); some studies show that robust optimization models
are not as different from the classical models as one expect. So what
exactly are the benefits of using the more intricate robust
optimization models in finance?


This talk tries to answer the above question, and focuses on the
application of robust optimization models in portfolio selection
problem. We will look into the motivations behind the use of robust
optimization in portfolio selection problems, compare the robust
optimization models with other existing methodologies that deal with
estimation risk (such as stochastic programming), and review the
current trends of application of robust optimization techniques on
different problems, such as multi-stage portfolio management problem
and  Sharpe ratio maximization.


This is a joint work with Henry Wolkowicz.

**************************************

Thanks a lot!!

Vris


____________________________________________________________________________
Internet Explorer 8 makes surfing easier. Get it now!