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13.06.2019
26th Annual MFS Conference - The final version of the program with the sessions, paper presentations and booklet is now available online
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09.05.2019
26th Annual MFS Conference - A preliminary version of the conference program is now available online
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08.04.2019
7th Spring MFS Conference - The final version of the program with the sessions, paper presentations and booklet is now available online
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Plenary Talks

KEYNOTE SPEAKER



Mike G. Tsionas - Lancaster University Management School, UK

Date: Saturday, April 20, 2019
Time: 1:30 - 2:30 p.m.
Venue: Room ELPIDA (Civitel Akali Hotel)

Talk Title:

Alternative Approaches to Portfolio Optimization in Finance

Abstract:

In this keynote address, the speaker presents certain new approaches to portfolio optimization in finance. Special emphasis will be based on regression as well as multi-objective formulations. Multi-objective optimization is an active research area in both applied mathematics, finance, and optimal portfolio selection. First, the speaker will describe in non-technical terms the regression and multi-objective portfolio optimization and, second, he will explore certain new approaches to both techniques using a suitable likelihood function / posterior distribution to estimate the Pareto front. The new approaches rely on Bayesian analysis using Markov Chain Monte Carlo (MCMC) techniques. The presentation will be non-technical in nature, to the extent possible, and its purpose is to introduce Bayesian regression, MCMC and estimation of Pareto fronts in applied finance for experts and a general audience alike.


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