{"598144":{"#nid":"598144","#data":{"type":"event","title":"PhD Defense by Carl Morris","body":[{"value":"\u003Cp\u003ETitle: Dynamic Portfolio Optimization using Mean-Semivariance\u003C\/p\u003E\r\n\r\n\u003Cp\u003EAdvisors: Dr. Hayriye Ayhan and Dr. Shijie Deng\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003ECommittee Members:\u003C\/p\u003E\r\n\r\n\u003Cp\u003EDr. Sebastian Pokutta\u003C\/p\u003E\r\n\r\n\u003Cp\u003EDr. Chelsea White\u003C\/p\u003E\r\n\r\n\u003Cp\u003EDr. Jun Xu (School of Computer Science)\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003EDate and time: Thursday, November 2nd, 3:00 PM.\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003ELocation: Groseclose 403\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003EAbstract:\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n\r\n\u003Cp\u003EThis dissertation studies the mean-semivariance portfolio optimization problem. We describe the relationship of this kind of optimization in the context of other types of portfolio optimization. We construct a novel analysis of mean-semivariance in the context of piecewise quadratic optimization. The unique structure of mean-semivariance is leveraged to provide insight into properties of the optimal portfolio as a function of its key input parameters. This characterization allows us to introduce a new approach to solving a multi-period dynamic mean-semivariance portfolio problem. The proposed methodology provides significant improvements over naive approaches not leveraging the unique structure of the mean-semivariance value function. Finally, we develop a novel, distributionally robust piecewise quadratic formulation using semidefinite programming. We apply the robust formulation to the mean-semivariance portfolio problem to construct a distributionally robust mean-semivariance portfolio. We prove that the robust mean-semivariance portfolio is actually equivalent to the classical mean-variance portfolio.\u003C\/p\u003E\r\n\r\n\u003Cp\u003E\u0026nbsp;\u003C\/p\u003E\r\n","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"Dynamic Portfolio Optimization using Mean-Semivariance"}],"uid":"27707","created_gmt":"2017-10-31 18:41:48","changed_gmt":"2017-10-31 18:41:48","author":"Tatianna Richardson","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2017-11-02T16:00:00-04:00","event_time_end":"2017-11-02T18:00:00-04:00","event_time_end_last":"2017-11-02T18:00:00-04:00","gmt_time_start":"2017-11-02 20:00:00","gmt_time_end":"2017-11-02 22:00:00","gmt_time_end_last":"2017-11-02 22:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"221981","name":"Graduate Studies"}],"categories":[],"keywords":[{"id":"100811","name":"Phd Defense"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1788","name":"Other\/Miscellaneous"}],"invited_audience":[{"id":"78761","name":"Faculty\/Staff"},{"id":"78771","name":"Public"},{"id":"174045","name":"Graduate students"},{"id":"78751","name":"Undergraduate students"}],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}