Optimum Decision Making and Risk Analysis Applied to Finance

15-19 January 2024, IIM Udaipur

Objectives-Scope and Purpose:
Optimisation technologies have become key tools in making intelligent business decisions and are often adopted in the Finance industry. Important problems of the Finance industry, such as

asset allocation and portfolio construction
asset and liability management
risk quantification and risk control

are well-addressed by optimisation-based models. The success of optimisation enabled solutions depends on many factors such as which modelling tools are used, integration with data sets and the selection of the most efficient solution algorithms available for the problem.

Learning Outcomes:
After successful completion of the workshop, the participants will

formulate and develop their own optimisation models
link them to data sources and solve the models using state-of-the-art commercial solvers

have acquired a good knowledge of how to embed optimisation models into applications.

Workshop Format:
This workshop is modular and presented in three parts (two days x 2, plus one day). This workshop is presented in an interactive format and is split into theory and practical sessions. The participants have the opportunity to familiarise themselves with relevant software and learn some practical applications. In the afternoon of each day participants spend some time discussing their modelling and solving requirements with the expert presenters. This reinforces the theory learned and provides an excellent grounding which makes the training truly valuable and practical. Participants are encouraged to engage in general discussion and further examples of applying the lessons learned.

Practical Sessions:
Our instructors are all acknowledge subject experts and have many years’ experience in this field. They will take you through all the steps of an optimisation project using powerful optimisation tools such as the modelling language AMPL, its extension Stochastic AMPL(SAMPL), and the modelling system AMPLDev, together with the solvers CPLEX and FortMP.

Pre-requisites: This is an advanced course designed to allow individuals with various levels of optimisation knowledge to attend. Some previous exposure to optimisation theory and methods is helpful but not essential.

This program qualifies for 35 GARP CPD credit hours. If you are a certified Financial Risk Manager (FRM®) or ERP, please record this activity in your Credit Tracker at http://www.garp.org/cpd

Module Plan:
Part 1. Theory and applications of Linear and Integer Programming (Day 1 & 2)

Basic concepts of linear and integer programming
Formulation, solution and investigation of LPand IP models
Embedding of models in information systems
Prototyping business intelligence and DSS solutions

Part 2. Optimisation under uncertainty: Stochastic Programming & Robust Optimisation (Day 3 & 4)

Implications of time and uncertainty in optimisation
Representing uncertainty with discrete scenarios
Formulation and solution of Stochastic Programming (SP) and Robust Optimisation (RO) models
Solution of SPand RO models

Part 3. Risk and return analysis for Asset Allocation (Day 5)

Markowitz mean-variance quadratic programming models, with real world descriptions such as buying thresholds and cardinality constraints
Methods of computing the efficient frontier

Target Audience:
This workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, financial quantitative analysts, risk analysts, software developers, consultants and academics.

OR professionals: This workshop series will help you to get up-to-date on the latest methodologies and receive exposure to the wide range of technologies and software now available in the field of optimisation.
Quantitative analysts/Risk analysts: This workshop series gives you an overview of the wide range of technologies available, allowing you to define and conceptualise your business problems in terms of an optimisation problem.
Software developers/IT: This workshop series provides instructions on how to embed optimisation models into software applications. It will also give you all the necessary information and techniques in order to understand optimisation modelling and data modelling integration.

Discounted rates for group bookings can also be arranged on request by contacting us on + 44 (0) 1895 819 488 or email info@optirisk-systems.com

Presenters:

Professor Gautam Mitra is the founder and the MD of OptiRisk Systems. He is an internationally renowned research scientist in the field of Operational Research in general and computational optimisation and modelling in particular. He has developed a world class research group in his area of specialisation with researchers from Europe, UK , USAand India. He has published five books and over hundred and fifty research articles. He is an alumni of UCLand currently a Visiting Professor of UCL. In 2004 he was awarded the title of ‘distinguished professor’ by Brunel University in recognition of his contributions in the domain of computational optimisation, risk analytics and modelling. In OptiRisk Systems he directs research and actively pursues the development of the company as a leader in the domain of financial analytics. Professor Mitra is also the founder and chairman of the sister company UNICOM seminars. OptiRisk systems and UNICOM Seminars also have subsidiaries in India. In India and Southeast Asia both the companies are going through a period of organic growth.

Dr. Christian Valente has a bachelor’s degree, first class honours in Computer Science and subsequently an MSc in Artificial Intelligence from Politecnico di Milano, Italy (2004). He was a sponsored industry based PhD research student in Mathematical Sciences, at Brunel University. He joined OptiRisk Systems in 2005; the company, as the managing partner of the WEBOPT project (CRAFT programme of EU), sponsored his PhD research. Dr Valente’s PhD research was on the topics of Stochastic Programming and parallel computing. Dr Valente leads the design team for AMPLIDE and Stochastic AMPL(SAMPL). These flagship products have been developed under contract from AMPL Optimization Inc. who are also a Partner of OptiRisk Systems. Dr Valente has designed and developed many optimisation based decision support systems and substantial industrial risk protection systems and acts as the main technological advisor for external projects. Dr Valente is fluent in Italian (his native language) and English and is also proficient in German.

Dr. Cristiano Arbex-Valle has a bachelor’s degree in Computer Science and an MSc in Operations Research from Universidade Federal de Minas Gerais (UFMG), Belo Horizonte, Brazil. In 2011 Dr Valle joined OptiRisk as a software engineer and a researcher. In the year 2014 Dr Valle obtained his PhD in the department of Mathematical Sciences at Brunel University (UK) on the topic of optimisation techniques and financial modelling. In OptiRisk, Dr Valle contributes in two areas: (i) development and enhancement of FortSP which is acknowledged as the best of breed (Integer) Stochastic Programming solver. He is also (ii) in charge of developing financial analytics products [a] SAToolkit and [b] SSD Signals. SAToolkit captures the research results acquired by OptiRisk in the domain of Sentiment Analysis and SSD Signals is based on the company’s research in the domain of Stochastic Dominance. Dr Valle is fluent in Portuguese (his native language) as well as in English; he also has advanced knowledge in Spanish and French.

Dr. Christina Erlwein-Sayer is a quantitative analyst and senior researcher working on the topic of financial analytics in general and models and tools for portfolio construction and credit risk assessment in particular. Dr Erlwein-Sayer completed her PhD in Mathematics at Brunel University, London in 2008. She then worked as a researcher and consultant in the Financial Mathematics Department at Fraunhofer ITWM, Kaiserslautern, Germany before she started her role at OptiRisk in 2015 under a joint project between OptiRisk Systems and its partner Fraunhofer ITWM. Prior to the current assignment Dr Erlwein-Sayer had presented workshops on behalf of OptiRisk at IIM Calcutta in Kolkata and Mumbai. She was also the lead member of the training partnership between OptiRisk Systems and Fraunhofer ITWM and presented at many of the workshops; notable among these was the training delivered to the World Bank in Washington. Dr Erlwein-Sayer is fluent in German (her native language) and in English.

Dr. Cormac Lucas Dr Lucas has extensive knowledge of Mathematical Optimization and Software Tools for (algebraic) Optimization Modelling. He is also a subject expert in the domains of Stochastic Optimization, Asset and Liability Management (ALM) and Risk Analytics. He has executed many industrial projects on behalf of the company; these include US Coast Guard Cutter Scheduling, ALM project for Insight Investment, Natural Oil Buying (trading) policy for Unilever amongst others. Dr Lucas is one of the lead faculty of the Optimization / and Stochastic Optimization training course of OptiRisk Systems. He has many journal publications and has held an academic position at CARISMA, Brunel University, London.

Dr. Diana Roman After completing her PhD under late Professor Darby-Dowman and Professor Mitra, Dr Roman joined OptiRisk Systems as a software developer. She had designed the scenario-generator library which was used inSPInEthe first version of the SP Tool developed by OptiRisk Systems. Together with Professor Mitra she has written a few seminal papers on the topic of portfolio construction with downside risk control in general and use of Second Order Stochastic Dominance (SSD) in particular. Dr Roman is a faculty member of CARISMA, and a lecturer in the department of Mathematical Sciences at Brunel University.