Fields- Industrial-Academic Workshop on Optimization in Finance and Risk Management
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Title: A Closed-Form Execution Strategy to Target VWAP
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Title: On a Feedback Control Paradigm Addressing the Profitability of Technical Analysis
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Title: Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
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Title: Statistical Arbitrage using Limit Order Book Imbalance
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Title: Probabilistic Scenario Optimization (PSO): A Solution to Goal-Based and Long-Term Portfolio Choice
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Title: Customer Credit and Pricing Optimization
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Title: Shared-Loss Fee Structures for Hedge Funds
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Title: On Tail Dependence of the Gaussian Copula
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Title: Factor-based Robust Indexing
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Title: Real Option Valuation of Managerial Cash-Flow Estimates with Market Related Timing Risk
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Title: Data Driven Optimal Model for Financial Valuation and Risk Management
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Title: Parameter Calibration and the Impact on Hedging Strategies for OTC Derivatives
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Title: Linear Parametric Programs over Some Euclidean Combinatorial Sets and Applications
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Title: The Bank of the Future: Driven by Analytics
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Title: Panel discussion: Optimization in Quantitative Finance and Risk Management – Industrial Perspective
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Title: The Fundamental Quadrangle of Risk in Optimization and Statistics
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Title: Experience Computing Efficient Surfaces in Multi-criteria Portfolio Selection
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Title: Value-at-Risk Optimization
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Title: Accounting for Risk Measure Ambiguity when Optimizing Financial Positions
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