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University Calendar
Events for September
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Risk Assessment and Asset Allocation with Gross Exposure Constraints for Vast Portfolios
Fri, Sep 04, 2009 @ 03:30 PM - 05:00 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Mathematical Finance ColloquiumWhen: Friday, September 4, 2009, 3:30 PMWhere: KAP 414Title: "Risk Assessment and Asset Allocation with Gross Exposure Constraints for Vast Portfolios"Speaker: Jianqing Fan Frederick L. Moore Professor of Finance, and the Director of Committee of Statistical Studies in the Department of Operation Research and Financial Engineering of Princeton UniversityABSTRACT: Markowitz (1952, 1959) laid down the ground-breaking work on the
mean-variance analysis. Under his framework, the theoretical optimal allocation
vector can be very different from the estimated one for large portfolios due to the
intrinsic difficulty of estimating a vast covariance matrix and return vector. This
can result in adverse performance in portfolio selected based on empirical data
due to the accumulation of estimation errors. We address this problem by
introducing the gross-exposure constrained mean-variance portfolio selection.
We show that with gross-exposure constraint the empirically selected optimal
portfolios based on estimated covariance matrices have similar performance
to the theoretical optimal portfolios and there is no error accumulation effect
from estimation of vast covariance matrices. This gives theoretical justification
to the empirical results in Jagannathan and Ma (2003). We also show that the
no-short-sale portfolio is not diversified enough and can be improved by
allowing some short positions. As the constraint on short sales relaxes, the
number of selected assets gradually increases and finally reaches the total
number of stocks when tracking portfolios or selecting assets. This achieves
the optimal sparse portfolio selection, which has close performance to the
theoretical optimal one. Among 1000 stocks, for example, we are able to identify
all optimal subsets of portfolios of different sizes, their associated allocation
vectors, and their estimated risks. The utility of our new approach is illustrated
by simulation and empirical studies on the 100 Fama-French industrial portfolios
and the 600 stocks randomly selected from Russell 3000.Location: Kaprielian Hall (KAP) - 414
Audiences: Everyone Is Invited
Contact: Georgia Lum
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When Do You Need to Actively Manage System of Systems Engineering: A Quantitative Analysis
Thu, Sep 10, 2009 @ 03:30 PM - 04:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Daniel J. Epstein Department of Industrial and Systems Engineering ISE 650 Seminar"When Do You Need to Actively Manage System of Systems Engineering: A Quantitative Analysis"Jo Ann Lane, PhDABSTRACT: Today's need for more complex, more capable systems in a short timeframe is leading more organizations towards the integration of new and existing systems with commercial-off-the-shelf (COTS) products into network-centric, knowledge-based systems of systems (SoS). With this approach, system development processes to define the new architecture, identify sources to either supply or develop the required components, and eventually integrate and test these high level components are evolving and are being referred to as SoS Engineering (SoSE). In recent years, the systems engineering (SE) community has struggled to decide if SoSE is really different from traditional SE and, if it is different, how does it differ. Recent case study research, primarily by the Department of Defense's Office of the Secretary of Defense (OSD), has confirmed that there are indeed key differences and that traditional SE processes are not sufficient for SoSE. Additional studies of several large-scale SoSE programs and several SE programs that were considered part of one or more SoSs identified four types of SoSE management strategies.
This presentation describes the results of further investigations that explored two of these SoSE management strategies with respect to engineering effort and return on SoSE investment. The two most common SoSE management strategies (with and without an SoSE team to guide capability development) were compared and used to assess the value-added of the SoSE team with respect to total SE effort expended to engineer an SoS capability. It is clear from both the OSD pilot studies and the system dynamics model analysis conducted as part of this research that there exist conditions under which investments in SoSE have positive and negative returns on investment. This presentation provides insights into the first quantitative determination of these conditions and points out directions for future research that would strengthen the results.THURSDAY, SEPTEMBER 10, 2009, ANDRUS GERONTOLOGY (GER) 309, 3:30 – 4:30 PMBIO: Jo Ann Lane recently completed her PhD in the USC ISE Department under the guidance of Professors Barry Boehm and Stan Settles in the area of system of systems (SoS) engineering and cost modeling. As a PhD candidate, she was awarded the 2007 International Council on Systems Engineering (INCOSE) Foundation/Stevens Doctoral Award for promising research in Systems Engineering and Integration.Location: Ethel Percy Andrus Gerontology Center (GER) - 309
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Joint Analysis of Stock Prices and Volatility in a Class of Stochastic Volatility Models with Jumps
Mon, Sep 14, 2009 @ 02:30 PM - 03:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Math Finance ColloquiumMonday, Sept. 14, 2:30-3:30 PM at KAP 414Title: "Joint Analysis of Stock Prices and Volatility in a Class of Stochastic Volatility Models with Jumps"Speaker: Prof. Petra Posedel, University of Zagreb, CroatiaABSTRACT: We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model that is not a diffusion, but admits jumps. It is assumed that both the quantities are observed on a discrete grid of fixed width, and the observation horizon tends to infinity. We show that the estimator is consistent and asymptotically normal and give explicit expressions of the asymptotic covariance matrix. Our method is illustrated by a finite sample experiment and a statistical analysis on the International Business Machines Corporation (IBM) stock from the New York Stock Exchange (NYSE) and the Microsoft Corporation (MSFT) stock from Nasdaq during a history of five years.
Location: Kaprielian Hall (KAP) - 414
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Global Health: Back to the Future
Wed, Sep 16, 2009 @ 05:00 PM - 06:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
LECTURE SERIES - VISIONS FOR CHANGE - USC GLOBAL HEALTH"Global Health: Back to the Future"Alfred Sommer, MD, MHSDean Emeritus, Johns Hopkins Bloomberg School of Public HealthSeptember 16: UPC Town and Gown BallroomThe lecture will be held from 5:00pm-6:30pm and followed by a reception. To RSVP and for further information call 323-865-0419 or email global.health@usc.eduSPEAKER BIO:Alfred Sommer, MD, MHS - World-renowned for his research in child survival, blindness prevention, and
the interface between public health and clinical medicine, Dr. Al Sommer will share his experiences in the field and present his perspective on the future of global public health. Dr. Sommer's discovery that a low-cost, high dose of vitamin A increases child survival is estimated to have saved over
six million lives worldwide. Dr. Sommer is Dean Emeritus and Professor of Epidemiology, Ophthalmology, and International Health at the Johns Hopkins Bloomberg School of Public Health. Dr. Sommer received his MD from Harvard Medical School (1967) and his Master of Health Science in Epidemiology from
the Johns Hopkins School of Public Health (1973). He has published 5 books and over 300 scientific articles; has received numerous awards including the Albert Lasker Award for Clinical Research, the Warren Alpert Foundation Prize, and the Duke Elder International Gold Medal for Contributions to
Ophthalmology.Location: UPC Town & Gown Ballroom
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Global Health: Back to the Future
Wed, Sep 16, 2009 @ 05:00 PM - 06:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Lecture Series - Visions for Change - USC Global Health"Global Health: Back to the Future"Alfred Sommer, MD, MHSDean Emeritus, Johns Hopkins Bloomberg School of Public HealthSeptember 16: UPC Town and Gown BallroomThe lecture will be held from 5:00pm-6:30pm and followed by a reception. To RSVP and for further information call 323-865-0419 or email global.health@usc.eduSPEAKER BIO:Alfred Sommer, MD, MHS - World-renowned for his research in child survival, blindness prevention, and
the interface between public health and clinical medicine, Dr. Al Sommer will share his experiences in the field and present his perspective on the future of global public health. Dr. Sommer's discovery that a low-cost, high dose of vitamin A increases child survival is estimated to have saved over
six million lives worldwide. Dr. Sommer is Dean Emeritus and Professor of Epidemiology, Ophthalmology, and International Health at the Johns Hopkins Bloomberg School of Public Health. Dr. Sommer received his MD from Harvard Medical School (1967) and his Master of Health Science in Epidemiology from
the Johns Hopkins School of Public Health (1973). He has published 5 books and over 300 scientific articles; has received numerous awards including the Albert Lasker Award for Clinical Research, the Warren Alpert Foundation Prize, and the Duke Elder International Gold Medal for Contributions to
Ophthalmology.Location: UPC Town & Gown Ballroom
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Technological Entrepreneurship in Innovations for Emergence of New Industries
Thu, Sep 17, 2009 @ 01:30 PM - 02:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
For those interested in the AME seminar:"Technological Entrepreneurship in Innovations for Emergence of New Industries" Shuichi Ishida, Ph.D., Professor of Innovation and Social Systems Research, Ritsumeikan University, Kyoto, JapanABSTRACT: Innovation in industry is a process that involves an enormous amount of uncertainty, human creativity, and opportunity. Over the years, scholars have studied patterns of successful industrial innovation, but the identification of patterns does not suggest that successful innovation is entirely predictable. This research attempts to develop a practical and theoretical model of industrial innovation. Further research on the dynamics of innovation was required to development a concrete operational model to account for the role of key persons who are able to bridge over product innovation and process innovation differences. He examined the method for evaluating the strategy of firms which technology is positioned between the fluid and transitional phase of Abernathy-Utterback Model and in particular, discussed the efforts of core human resources who play a key role in the technological strategies, as well as how they are utilized. He expected to find that the strategic allocation of key individuals-multi performers would emphasize company-wide technological strategies. His research target is to address a number of epoch making product developments such as Electric Vehicle, Li-ion Battery, Fuel Cell, stuff like that, and to provide a framework for thinking about the important issues of technological entrepreneurship. Issues addressed in his future research include the following:* The role of key individuals in industrial innovation* The relationship between regional agglomeration process and technological entrepreneurship by key individuals who plays an important role of innovation and knowledge-based network creation* How 'rising' new industry firms can successfully renew their SCM as one generation of technology succeeds another (for example, EV, fuel cell, etc.). In case, who plays an important role of technological entrepreneurship?BIO: Dr. Shuichi Ishida is a Professor of Innovation and Social Systems Research at Ritsumeikan University (Rits MOT), KYOTO, JAPAN. He received his Ph.D. in the field of R&D management from Hokkaido University (2000) and in the field of Social System Engineering from Kyoto University (2008). He has done research on R&D organization, knowledge-based networking, construction project management and industrial agglomeration development, along with theoretical modeling, 'action research' at several companies with specific core technologies, and some governmental projects. Prior to joining Rits MOT faculty in 2004, he developed some frontier devices of Li-ion Battery as an engineer at Sony after finishing his masters of Nuclear Engineering at Research Laboratory for Nuclear Reactors in Tokyo Institute of Technology. And next, he worked as a research fellow at the Japan Society for the Promotion of Science(JSPS) and an associate professor of product development at Hokkai-Gakuen University, Sapporo, JAPAN.Laufer Library, RRB 208, 1:30pm - 2:30pm, Thursday, September 17, 2009
Location: Laufer Library, RRB 208
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Hospital / Physician Integration: Discussion of Realities and Choices in 2009 and Beyond
Fri, Sep 18, 2009 @ 07:30 AM - 09:30 AM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Health Care Executives of Southern CaliforniaThe Independent Southern California Chapter of the American College of Healthcare Executives (ACHE) Invites you to an L.A. County Area Program: "Hospital/Physician Integration: Discussion of Realities and Choices in 2009 and Beyond"Join Us For This Special Program and Panel DiscussionSuccessful hospital and physician relationships have always been critical in healthcare, but even more so in light of multiple challenges: reimbursement pressures, healthcare reform, pay-for-performance, increased industry consolidation/ competition, and the quality mandate. To integrate or not: that is the question. This program will address the current realities and choices health systems, hospitals, and medical groups are facing when considering strategic alignments, relationships, or other partnerships.Speaker Panel:• Arnie Schaffer, Chief Executive/San Fernando Valley Service Area
Providence Health Services• Bill Gil, President/CEO, Facey Medical Foundation• Josh Luke, CEO, Western Medical CenterIntroductions by:Robert Myrtle, Professor of Health Services Administration, School of Policy, Planning and Development, USC. Professor Myrtle's key research interests are interorganizational relations, strategic decision making and organizational and management effectiveness.Date: Friday, September 18, 2009Time: 7:30 AM – 9:30 AM / Networking / Breakfast / ProgramCost: $35.00 – HCE/ACHE Members, Non-Members, $10.00 – StudentsLocation: University of Southern California, School of Policy, Planning, and Development, 650 Childs Way, Los Angeles, Lewis Hall – Room RGL 101 - AuditoriumParking: Parking Structure X at Gate 3, $8.00Contact: Sara Alviani, SAlviani@hasc.org, 805) 650-1243There are only a few spaces left for this event. If you wish to attend, submit a credit card payment to Sara Alviani via fax or email by Friday, September 11.Reserve your space now!For information on becoming a member of HCE, go to hcesocal.ache.org.NOTE: Your membership in ACHE entitles you to a complimentary membership in HCE!"Hospital/Physician Integration: Discussion of Realities and Choices in 2009 and Beyond," Friday, September 18, 2009Name/Title_____________________________________________________________________Organization___________________________________________________________________Address________________________________________________________________________Telephone/Email________________________________________________________________Are you a member of HCE or ACHE? Yes _____ No _____Amount paid: $____________If student, provide name of school______________________________________Check O Check #___________ Credit Card O Card Type: MC Visa AmEx Card #__________________________ Exp. Date ______________ Name on Card ____________________________________________(Please Print)
CV#______________(3-digit number on back of Visa, MasterCard; 4 digit number on front of AmEx)Cardholder Address _____________________________________________________________City, State,Zip ________________________________________________________________Signature of Cardholder __________________________________________________________CANCELLATION POLICY: NO REFUNDS AFTER September 11, 2009.Please mail or fax completed form, along with your payment, to:Health Care Executives of Southern California, 6633 Telephone Road, Suite 210, Ventura, California 93003, (805)650-6456 FaxLocation: Ralph And Goldy Lewis Hall (RGL) - 101 (Auditorium)
Audiences: Everyone Is Invited
Contact: Georgia Lum
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How Participation in WTS-LA Will Benefit Your Professional Development in All Phases of Your Career!
Tue, Sep 22, 2009 @ 01:30 PM - 03:00 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
WTS - ADVANCING WOMEN IN TRANSPORTATIONHave a slice with WTS-LA! Learn how participation will benefit your professional development in all phases of your career!Attention engineers, urban planners, environmental planners, public policy and logistics students with a career interest in transportation: WTS is an international organization of transportation professionals. The Los Angeles Chapter of WTS boasts more than 350 members and 45 corporate, agency, and university sponsors. Although the mission of WTS is to advance women in transportation, membership is diverse and one-third of all members are men.WTS-LA provides a target rich environment for networking with other transportation professionals through monthly meetings with keynote speakers addressing timely transportation topics.WTS-LA offers several scholarships annually to transportation students.WTS-LA publishes a book of resumes of graduating students from the top Southern California schools. It is provided to its public and private sector sponsors for their use in filling open positions. For more information, join WTS-LA for an informational seminar sponsored by the USC Center for Engineering Diversity:Date: September 22, 2009Time: 1:30 PMLocation: Ronald Tutor Hall (RTH) 211Pizza and drinks will be provided.Please RSVP to Melissa Reggiardo at melissa.reggiardo@stvinc.com by September 20, 2009.
Location: Ronald Tutor Hall of Engineering (RTH) - 211
Audiences: Everyone Is Invited
Contact: Georgia Lum
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What Does Every Engineer Need to Know--Now
Thu, Sep 24, 2009 @ 04:00 PM - 05:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Third Annual Eberhardt Rechtin Keynote Lecture"What Does Every Engineer Need to Know--Now?"Dr. Richard K. MillerPresident, Franklin W. Olin College of Engineering, Needham, MA ABSTRACT: As we engage the grand challenges of the 21st century, the role of engineering is increasingly entangled in a rapidly evolving global context of economic, social, and political issues. The solutions to the global challenges we face must transcend time zones and political boundaries and require interdisciplinary approaches as well as international cooperation. While science and engineering will remain central to many of these challenges, science and engineering alone will not provide solutions to any of them. Technology has become an amplifier on human intentions: in each generation, technology enables a smaller and smaller number of people to influence the lives of an increasing number of others--either for the better or the worse.Unintended consequences can no longer be ignored. These immense challenges are likely to require decades to solve. They are fundamentally the challenges of the next generation. In this context, what will every engineer of the next generation need to know? And what should the role of engineering be in addressing these challenges? The life's work of Dr. Rechtin may provide some insight into these important questions.THURSDAY, SEPTEMBER 24, 2009, ANDRUS GERONTOLOGY AUDITORIUM, 4:00 – 5:30 PM3:00 - 4:00 PM - Meet Dr. Miller / Refreshments will be served in the Gerontology CourtyardBIOGRAPHY: Richard K. Miller was appointed president and first employee of the Franklin W. Olin College of Engineering on February 1, 1999, where he also holds an appointment as professor of mechanical engineering.Before joining Olin College, he served as Dean of Engineering at the University of Iowa from 1992-99. He spent the previous 17 years on the engineering faculties at the University of Southern California (where he held the position of Associate Dean for Academic Affairs) and the University of California, Santa Barbara. Miller has authored or co-authored about 100 technical publications in the field of applied mechanics, and has won five awards for teaching excellence. He is a member of the governance boards for two independent colleges and The Stanley Group, an international engineering services company. He has served as Chair of the NSF Engineering Advisory Committee, chair of the Association of Independent Technological Universities, a member of the Visiting Committee for the School of Engineering and Applied Sciences at Harvard University, chair of the accreditation visiting committees of several independent institutions, a member of the Higher Education Working Group of the Council on Foreign Relations, and is a consultant to the World Bank in forming new universities in developing countries.He earned his B.S. degree in Aerospace Engineering from the University of California, Davis in 1971, where he is the recipient of the 2002 Distinguished Engineering Alumnus Award. He received an S.M. in Mechanical Engineering from MIT in 1972, and a Ph.D. in Applied Mechanics from Caltech in 1976.
Location: Ethel Percy Andrus Gerontology Center (GER) - Auditorium
Audiences: Everyone Is Invited
Contact: Georgia Lum
