SEMINAR JUNE 2014

Ms. Sarita, Assistant Professor, from Computer Science & Engineering Department of Dronacharya College of Engineering, Gurgaon, attended a Seminar on “Cardinality Constrained & Probabilistically constrained Optimization” held at Department of Mathematics, IIT Delhi On 2nd June 2014.

Mr. Duan Li, Professor at Department of System Engineers& Engineering Management, from The Chinese University of Hong kong was the key speaker. The objective of the Seminar is to generate the efficient algorithm for mixed integer quadratic problem (MIQP).

Duan Li's explained about Cardinality constraints which is one of the important kinds of constraint in conceptual modeling. In addition to constraining the population of relationship types, cardinality constraint helps us to understand the meaning of the types involved and they also play an important role in system design. Prof. Duan Li's gave a brief introduction about Modern portfolio theory (MPT) which is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.

Speaker also told about CPLEX which is an optimization software package. The CPLEX Optimizer was named for the simplex method as implemented in the C programming language.

Speaker considers a probabilistic portfolio optimization problem with the variance objective function, probability constraint, expected returns constraint and a budget constraint with proportional linear transaction cost and the fixed transaction cost upon the total dollar value of the bought/sold assets.

Overall, the seminar was very informatics for the research purpose.