Thursday, September 28

Minisymposium 7: Optimization in finance

Time: 10:30 - 12:30
Room: L1.202, Building L
Organiser: Marianna De Santis, Sapienza University of Rome, and Valentina De Simone, University of Campania “Luigi Vanvitelli”
Chair: Valentina De Simone, University of Campania “Luigi Vanvitelli”

The use of optimization models in finance finds his roots in the theory of optimal selection of portfoliosdeveloped by Harry Markowitz in the 1950s. After seventy years, optimization models and methodsrepresent a fundamental tool in the analysis of real financial problems, such as asset allocation orrisk management. Today, optimization problems arising in finance are based on linear, quadratic, integer, dynamic, stochastic and robust programming models and the large-scale nature of thesemodels increasingly calls for the development of efficient and easy-to-use solution methods.The aim of this minisymposium is to give an introduction to recent advances in the field ofoptimization in finance, focusing on both modelling and solution methods.

Speakers: