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University Calendar
Events for January
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Taking Advantage of Small Predictabilities in Financial Securities
Fri, Jan 23, 2009 @ 03:30 PM - 04:30 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Host: Michael Neely, Assistant Professor, EE-Systems, mjneely@usc.edu, EEB 520, x03505Seminar: Taking Advantage of Small Predictabilities in Financial Securitiesor, as we say in the engineering world,Multistage Mean-Variance Portfolio Selection in Cointegrated Vector Autoregressive SystemsSpeaker: Charlie Rohrs, Massachusetts Institute of TechnologyBased on the PhD work of Melanie B. RudoyFriday, January 23, 2009, 3:30 - 4:30 pm, EEB 248Abstract: Certain combinations of security prices reveal small amounts of intertemporal predictability when modeled as Cointegrated Vector Autoregressive Systems (CVAR). Such predictability can be exploited using tools from dynamic programming and optimal control theory to produce profitable portfolio optimization schemes. Here we use a standard Markowitz optimal mean variance approach on such systems. Certain CVAR systems display converging variance with increasing time horizon and we show how to appropriate exploit this phenomena when a single portfolio with no rebalancing throughout time is required. When rebalancing is allowed, the mean reversion properties of certain CVAR systems allow extra leveraging in intermediate stages to create higher profits. The extra leveraging produces excess profits while the variance trend is reversed by the terminal time to meet the overall variance constraint. The terminal time mean-variance problem does not quite fit with the CVAR models and an approximate solution is proposed.Biography: Charlie Rohrs received his BS degree from Notre Dame in 1976 and his Masters and PhD from MIT in 1978 and 1982 respectively. He served on the faculty at the University of Notre Dame from 1982 until 1997 and a Visiting Professor at MIT from 1997 until 2000. Charlie spent much of his career at The Tellabs Research Center, the research arm of Tellabs Operations, Inc., a manufacturer of telecommunications equipment for public service network providers. From 1985 until 1995, Dr. Rohrs was Director of the Research for Tellabs as the company grew from sales in the tens of millions to over a billion dollars annually. In 1995, he became the first Tellabs Fellow. Since 2001, Charlie has worked at MIT, first as a Principal Research Scientist in the Laboratory for Information and Decision Systems (LIDS) and then in his current position in the DSP group in RLE. While Dr. Rohrs is best known for his early contributions to the study of robustness in adaptive control, he has also contributed work in adaptive control, adaptive signal processing, communication theory, and communication networks and switching systems.He has recently become interested in the problems of financial engineering.
Location: Hughes Aircraft Electrical Engineering Center (EEB) - 248
Audiences: Everyone Is Invited
Contact: Georgia Lum
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What is Default and When is the Recovery
Mon, Jan 26, 2009 @ 02:15 PM - 03:15 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Mathematical Finance Colloquium Title: "What is Default and When is the Recovery?"Speaker: Professor Xin Guo, Department of Industrial Engineering and Operations Research, University of California, BerkeleyWhen: Monday, January 26, 2009, 2:15--3:15 PMWhere: KAP 249Abstract: The recent financial crisis makes some quickly blame the general community of mathematical finance. Our recent empirical studies, the first of its sort to use distressed debt prices to estimate recovery rates at default, suggests something quite different. For example, the study implies that even the basic definition of "default" may need to be reconsidered.This is a joint work with Robert Jarrow of Cornell, and Haizhi Lin of Crédit Suisse-First BostonHosted by the Mathematical Finance Program
Location: Kaprielian Hall (KAP) - 249
Audiences: Everyone Is Invited
Contact: Georgia Lum
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Ports & Communities: Changing the Paradigm at the Port of Los Angeles
Tue, Jan 27, 2009 @ 12:15 PM - 01:45 PM
Daniel J. Epstein Department of Industrial and Systems Engineering
University Calendar
Tuesday, January 27, 2009, 12:15 PM, RGL 101"Ports & Communities: Changing the Paradigm at the Port of Los Angeles"Speaker: David Mathewson, Director of Planning and Research for the Port of Los AngelesAbstract: David Mathewson discusses how the port has moved from its historical role as an accommodator of maritime trade and jobs to one that also recognizes and mitigates the impacts it has on the local community. Mr. Mathewson will also share his insights on the new focus of the Port of LA, which is to "grow green."Bio: David Mathewson is the Port's director of planning and research and manages the Port's current and comprehensive planning activities and maritime and trade research activities, including cargo forecasting and socioeconomic impact analyses. Before joining the Port of LA, Mathewson analyzed transportation appropriations in Washington, D.C. as a staff aide to Illinois Congressman George O'Brien. RSVP is not required. For more information please contact Ashley Schweickart at schweick@usc.edu
Location: Ralph And Goldy Lewis Hall (RGL) - 101
Audiences: Everyone Is Invited
Contact: Georgia Lum
