DOS Optimization Seminar: Bernardo K. Pagnoncelli

Event Details
  • Date/Time:
    • Thursday January 24, 2008
      2:00 pm - 3:00 pm
  • Location: ISyE MAIN, Executive Classroom # 228
  • Phone: (404) 385-2300
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Juan Pablo Vielma
ISyE
Contact Juan Pablo Vielma
404-894-2300
Summaries

Summary Sentence: DOS Optimization Seminar: Bernardo K. Pagnoncelli

Full Summary: Bernardo K. Pagnoncelli will be speaking at the DOS Optimization Seminar on January 24, 2008. In his talk, he will provide an introduction to chance-constrained programming, showing an example and motivating the subject. The talk will be aimed at a broa

Title: "Computational Study of a Chance-constrained Portfolio Selection Problem"

Speaker: Bernardo K. Pagnoncelli

I will give a brief introduction to chance-constrained programming showing an example and motivating the subject. Then I will present a chance-constrained portfolio problem with random returns. Under normality, the problem can be efficiently solved, but in more general situations we have to rely on approximations. We apply different approximation schemes to the portfolio problem and we present the computational results. The talk will be aimed at a broad audience and no previous knowledge of chance-constrained programming is required.
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Bernardo K. Pagnoncelli has an B.S. and a M.Sc. in Mathematics from the Pontifical Catholic University of Rio de Janeiro, Brazil, and is a Ph.D. candidate in Mathematics at the same institution.

He was invited by Professor Shabbir Ahmed to spend one year as a Research Scholar at ISyE, working on Stochastic Programming.

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Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

Invited Audience
No audiences were selected.
Categories
Seminar/Lecture/Colloquium
Keywords
Bernardo K. Pagnoncelli, DOS, optmization, seminar
Status
  • Created By: Ruth Gregory
  • Workflow Status: Published
  • Created On: Oct 12, 2009 - 5:21pm
  • Last Updated: Oct 7, 2016 - 9:48pm