May 27 - 29, 2013
HIM Lecture Hall, Poppelsdorfer Allee 45
Organizers:
Jofré, Rockafellar, and Ziemba
Description:
This workshop discussed recent theory and practice in applying stochastic optimization concepts for understanding and solving problems in financial models and economic equilibrium. The three days were organized around various specific topics. The first day began with energy markets in a session oriented to generation/transmission optimization and pricing mechanisms. This was followed by a sessions on stochastic optimization in terms of risk-deviation-utility, duality and time-consistency, along with other subjects related to financial management.
The second day had sessions devoted to (1) portfolio theory and applications, (2) Kelly capital growth theory and applications, and (3) financial market bubbles and crashes: their prediction and entry and exit points. Included in this were issues in portfolio optimization and the pricing of options, as well as capital growth investment criteria.
The third day had market equilibrium as its primary focus. The talks were aimed at the philosophy and stability of equilibrium and the ways in which it may be reached or computed. The modeling and estimation of commodity prices got special attention.
Monday, May 27
| 09:15 - 09:50 | Michel De Lara (École des Ponts ParisTech): Smart power systems, renewable energies and markets: the optimization challenge |
| 09:50 - 10:25 | Alejandro Jofré (University of Chile): Cost-minimizing mechanisms for a wholesale electricity market |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:35 | Terry Rockafellar (University of Washington and University of Florida): Risk, deviation and utility in finance |
| 11:35 - 12:10 | Teemu Penannen (King’s College London): Convex duality in stochastic optimization and finance |
| 12:10 - 12:45 | Roger Wets (University of California-Davis): Computing equilibrium in a stochastic environment |
| 12:45 - 14:45 | Lunch break |
| 14:45 - 15:20 | Julio Backhoff (Humboldt University): On portfolio delegation with moral hazard under translation invariance |
| 15:20 - 15:55 | Joaquin Fontbona (University of Chile): Robust portfolio optimization without model compactness |
| 16:00 - 16:30 | Coffee break |
| 16:30 - 17:05 | Francisco Silva (Universite de Limoges): Some variational aspects in stochastic control theory |
| 17:05 - 17:40 | Paulwin Graewe (Humboldt University): Optimal portfolio liquidation under market impact |
Tuesday, May 28
| 09:00 - 09:30 | Mareen Benk (NATIONAL-BANK AG): Intertemporal asset liability management with jumps |
| 09:30 - 10:00 | Woo Chang Kim (KAIST - Korea): When is the 1/n strategy optimal? |
| 10:00 - 10:30 | Johannes Rauch (University of Sussex): Nice moment swaps |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:30 | Sergei Levendorskii (University of Leicester): Patience and impatience in option pricing |
| 11:30 - 12:00 | William Ziemba (University of British Columbia): Response to Paul A. Samuelson letter on capital growth criteria |
| 12:00 - 12:30 | Leonard MacLean (Dalhousie University): Capital growth with security and drawdown penalties |
| 12:30 - 14:30 | Lunch break |
| 14:30 - 15:00 | Mark Davis (Imperial College London): Fractional Kelly strategies |
| 15:00 - 15:30 | Sébastien Lleo (Reims Management School): Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better Than High PE Models? |
| 15:30 - 16:00 | Jan Palczewski (University of Leeds): Theoretical and empirical estimates of mean-variance portfolio sensitivity |
| 16:00 - 16:30 | Coffee break |
| 16:30 - 17:30 | Mikhail Zhitukhin (Steklov Institute and University of Manchester), William Ziemba (University of British Columbia): A disorder model and its use to determine exit and entry strategies in various financial bubble markets |
Wednesday, May 29
| 09:15 - 09:50 | Alejandro Jofré (University of Chile): Robust stability of economic equilibrium |
| 09:50 - 10:25 | Terry Rockafellar (University of Washington and University of Florida): Economic equilibrium with incomplete financial markets, revisited |
| 10:30 - 11:00 | Coffee break |
| 11:00 - 11:35 | Igor Evstigneev (University of Manchester): Mathematical behavioral finance |
| 11:35 - 12:10 | Sjur Flåm (University of Bergen): Reaching market equilibrium by bilateral barters |
| 12:10 - 12:45 | Georg Pflug (University of Vienna): Time consistency in stochastic optimization |
| 12:45 - 14:45 | Lunch break |
| 14:45 - 15:20 | Bertrand Villeneuve (Université Paris-Dauphine): Commodity storage with durable shocks: a simple Markovian model |
| 15:20 - 15:55 | Ivar Ekeland (Université Paris-Dauphine): Spot prices and future prices for commodities: an equilibrium model |
| 16:00 - 16:30 | Coffee break |
| 16:30 - 17:05 | Roger Wets (University of California-Davis): Modeling and estimating commodity prices: copper prices |
Person |
Affiliation |
Period of stay |
| Gohar Aleksanyan | Instituto Superior Tecnico IST | |
| Rabah Amir | University of Iowa | |
| Stefan Ankirchner | Universität Bonn | |
| Julio Daniel Backhoff | Humboldt Universität zu Berlin | |
| Erik Jan Balder | University of Utrecht | |
| Tatiana Belkina | Central Economics and Mathematics Institute RAS | |
| Mareen Benk | NATIONAL-BANK AG | |
| Mark Davis | Imperial College London | |
| Tiziano De Angelis | The University of Manchester | |
| Michel De Lara | École des Ponts ParisTech | |
| Ivar Ekeland | Université Paris-Dauphine | |
| Igor Evstigneev | University of Manchester | |
| Giorgio Ferrari | Universität Bielefeld | |
| Sjur Didrik Flåm | University of Bergen | |
| Joaquin Fontbona | Universidad de Chile | |
| Pavel Gapeev | London School of Economics | |
| Paulwin Graewe | Humboldt-Universität zu Berlin | |
| Alejandro Jofré | University of Chile | |
| Yuri Kifer | The Hebrew University | |
| Woo Chang Kim | Korea Advanced Institute of Science and Technology | |
| Yerkin Kitapbayev | The University of Manchester | |
| Sergey Levendorskiy | University of Leicester | |
| Sebastien Lleo | Reims Management School | |
| Leonard MacLean | Dalhousie University | |
| John Moriarty | University of Manchester | |
| Alexey Muravlev | Steklov Mathematical Institute | |
| Ekaterina Palamarchuk | Central Economics and Mathematics Institute of RAS | |
| Jan Palczewski | University of Leeds | |
| Teemu Pennanen | King's College London | |
| Georg Pflug | University of Vienna | |
| Shi Qiu | The University of Manchester | |
| Sven Rady | Universität Bonn | |
| Johannes Rauch | University of Sussex | |
| R.Tyrrell Rockafellar | University of Washington | |
| Neofytos Rodosthenous | London School of Economics and Political Science | |
| Klaus Reiner Schenk-Hoppé | University of Leeds | |
| Albert Shiryaev | Steklov Mathematical Institute Academy of Sciences of Russia | |
| Francisco José Silva | Université de Limoges | |
| Bertrand Villeneuve | Université Paris-Dauphine | |
| Roger Wets | University of California at Davis | |
| Mikhail Zhitlukhin | The University of Manchester | |
| William T. Ziemba | University of British Columbia |