报告题目：稀疏金融优化的模型与算法

报告人：徐凤敏教授

报告时间：2018年12月1日上午10:30

报告地点：数计学院2号楼309会议室

报告摘要：

 In the practical business environment, portfolio managers often face business-driven requirements that limit the number of constituents in their optimal portfolio. A natural sparse Finance optimization model is thus to minimize a given objective function while enforcing an upper bound on the number of assets in the portfolio. In this talk we consider why we select sparse financial model and how to select the optimal sparsity parameter. Furthermore, Sparse and group sparse index tracking models and algorithms are presented, and we conduct empirical tests to demonstrate that our approach generally produces sparse portfolios with higher out-of-sample tracking error.

报告人简介：徐凤敏，女，河南郑州人，计算数学博士，西安交通大学经济与金融学院教授、博士生导师，加拿大西蒙弗雷泽大学访问学者、香港理工大学访问学者、韩国首尔大学高级交换学者，陕西青年科技奖获得者。中国双选法学会理事，中国双选法学会经济数学与管理数学分会副理事长兼秘书长,中国运筹学学会数学规划分会理事。

申请人长期致力于大数据所涉及的统计与稀疏优化理论算法的研究和典型金融问题微观研究。目前，已在国内外知名期刊上发表(含录用)论文23篇，其中被SCI检索20篇。SSCI检索3篇。参与编写专著1部。主持两项国家自然科学基金，参与一项自然科学基金重点项目。

英文介绍：

Dr. Fengmin Xu, currently serving as the Dean in Department of Financial Engineering, is a professor in the School of Economics and Finance, Xi'an Jiaotong University. Her main research interests are statistics, sparse optimization theory and algorithms involved in big data and microscopic research on typical financial issues. Her publications have appeared in top-tier journals, including SIAM Journal on Scientific Computing, Journal of Global Optimization, European Journal of Operation Research etc. She is the executive director & secretary general of the Economic & Management Mathematics Branch of the Chinese Society of Optimization, Overall Planning and Economic Mathematics, and director of the Mathematical Programming Branch of OR Society of China. Her research has been recognized by numerous awards and supported by two National Natural Science Foundation of China as well as a key program of the NSF.