报告题目：Portfolio Optimization: Models, Theories and Algorithms

报告人：于波（大连理工大学数学科学公司，教授）

报告时间：2022年10月10日 10:00-11:30

报告地点：腾讯会议ID：824-832-283

校内联系人：李天然

报告摘要：In this talk, I will give a brief introduction to our recent works on portfolio optimization. At first, a new distributional- ly robust modeling strategy based on kernel density estimation will be introduced, tractable reformulation of KDE distribution- ally robust  portfolio optimization models, with CVaR, EVaR and HMCR as risk measures respectively, will be shown. Then some efficient algorithms for solving sparse portfolio optimization as well as their convergence will be introduced. Numerical results will also be given to show good performance of our new models and efficiency of our new algorithms.