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20.02.2019
7th Spring MFS Conference - A preliminary version of the conference program is now available online
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15.02.2019
New Forthcoming Article at Multinational Finance Journal
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05.02.2019
New Forthcoming Article at Multinational Finance Journal
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Plenary Talks

KEYNOTE SPEAKER



Mike G. Tsionas - Lancaster University Management School, UK

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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