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


Mike G. Tsionas - Lancaster University Management School, UK

Talk Title:

Alternative Approaches to Portfolio Optimization in Finance


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.