Third Rutgers-Stevens Workshop

Optimization of Stochastic Systems

Risk-Averse Optimization

Rutgers University, Busch Campus, CoRE Building, Room 101

(see the campus map and driving directions)

Friday, September 30

9:00 -- 9:15 Opening Session

9:15 --10:00 John Birge (University of Chicago)

Building Consistent Risk Preferences into Stochastic Optimization Models

10:00 – 10:15 Coffee Break

10:15 – 11:00 Michael Rothkopf (Rutgers University)

Modeling Risk (in Auctions and Elsewhere)

11:00 – 11:45 Jeremy Staum (Northwestern University)

Robustness and Ambiguity Aversion in Portfolio Optimization and Derivative Security Pricing

11:45 -- 1:15 Lunch Break

1:15 – 2:00 Andrzej Ruszczynski (Rutgers University)

Risk Aversion by Stochastic Dominance Constraints

2:00 -- 2:45 Darinka Dentcheva (Stevens Institute of Technology)

Inverse Stochastic Dominance Constraints and Rank Dependent Utilities

2:45 -- 3:00 Coffee Break

3:00 – 3:45 Andras Prekopa (Rutgers University)

On the Relation between Multiobjective Programming and Programming under Probabilistic Constraint

3:45 -- 4:00 Break

Graduate Students’ Session

4:00 -- 4:20 Nilay Noyan (Rutgers University)

Valid Inequalities for First Order Stochastic Dominance Constraints

4:20 -- 4:40 Gabor Rudolf (Rutgers University)

Dual Approach to Linear Stochastic Optimization Problems with Second Order Dominance Constraints

4:40 -- 5:00 Ludmyla Rekeda (Stevens Institute of Technology)

Statistical Tests for Stochastic Dominance

Saturday, October 1

9:15 --10:00 Alexander Shapiro (Georgia Institute of Technology)

Optimization of Risk Measures

10:00 – 10:15 Coffee Break

10:15 – 11:00 Patrick Cheridito (Princeton University)

Dynamic Monetary Risk Measures for Processes

11:00 – 11:45 Michael Zabarankin (Stevens Institute of Technology)

Deviation Measures in Risk Analysis

11:45 -- 1:15 Lunch Break

1:15 – 2:00 Garud Iyengar (Columbia University)

Robust Asset Allocation

2:00 -- 2:45 Ionut Florescu (Stevens Institute of Technology)

Option Pricing Using Recombining Trees

2:45 -- 3:00 Coffee Break

Graduate Students’ Session

3:00 -- 3:20 Anton Molyboha, Bogdan Grechuk (Stevens Institute of Technology)

Deviation Measures and Inequalities in Probability Theory

3:20 -- 3:40 Mine Subasi (Rutgers University)

On Strong Unimodality of n-Dimensional Discrete Distributions

3:40 -- 4:00 Irina Goldman (Stevens Institute of Technology)

On the Distribution of Market Capitalization and Enterprise Value over Rank: Analytical Treatment and Empirical Findings

4:00 -- 4:20 Xiaoling Hou (Rutgers University)

Monge Property and Bounding Multivariate Probability Distribution Functions with Given Marginals and Covariances

4:20 -- 4:40 Linyan Miao (Stevens Institute of Technology)

Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails

4:40 -- 5:00 Tongyin Liu (Rutgers University)

Solution of Probabilistic Constrained Stochastic Programming Problems with Poisson, Binomial and Geometric Random Variables