Workshop Series - Optimization of Financial Services

March 21st, 2013

Faculty of Economics and Administrative Sciences and Continuous Education Center organizes "Workshop Series Optimization of Financial Service Sector", which will be held on April 27, 2013 at Meridian Course Center and will be focused on Stochastic ProgrammingPortfolio & Risk Management and Robust Investment Decision Making.

This workshop comprises theory and practical sessions on optimal and robust investment decision making problems arising in the financial services sector. In addition to classical and well-known models such as Markowitz' mean-variance optimization model, the main objective is to present recent developments and new optimization models for a variety of financial problems. In particular, we focus on modelling and solution approaches for asset allocation, portfolio selection, index tracking, risk management and asset liability management.

Practical sessions based on real case studies aim to illustrate performance of optimal and robust investment strategies. For instance, an optimal asset allocation strategy that is obtained by solving Markowitz’s mean-variance portfolio management problem or its robust counterpart in view of an investor’s preferences such as buying thresholds, cardinality constraints, and transaction costs is analysed in terms of risk and return frontier. Alternatively, asset and liability management (ALM) strategies can be applied in various financial planning contexts such as pension funds and insurance.

In this workshop, the instructors, who all have years of experience in this field, will take you through all the steps of modelling and solving approaches using Excel and\or Optimisation Tools.


Benefits of Attending

At the end of the workshop, the participants will be able

  • acquire a good knowledge on how to model uncertainty arising in business applications within the financial services sector,
  • gain realistic view on the best use of optimisation technology for optimal and robust investment decisions,
  • understand the role of optimal and robust investment decision making practices and the leading issues of financial analytics, 
  • aware of the recent developments and practices in domain of asset allocation, portfolio optimisation, asset and liability management and risk management,
  • gain insights of how to determine and effectively solve the customers’ challenging problems arising in capital allocation to achieve maximum return with limited risk.

Target Audience

This workshop is targeted at:

  • Quantitative and technical analysts
  • Risk analysts, 
  • Financial engineers/ analysts
  • Quantitative developer
  • Trade & cash solutions managers/analysts
  • Corporate treasurers
  • Investment managers/ Investment strategists
  • Academic researchers

Registration Fee: 250 EUR per person


09:00 - Registration and Coffee
09:15 - Introduction and Overview
09:30 - Stochastic Programming: optimum decision making under uncertainty (an overview)
A theoretical background to decision making under uncertainty will be given, with a particular focus on financial applications (asset allocation, portfolio management, ALM) and risk measures
10:30 - Robust Optimisation: worst-case analysis for investment decisions and risk measures (asset allocation, portfolio construction and ALM)
11;30 - Tea/Coffee Break
11.45 - Applied Case Study
12.45 - Discussion and Feedback


Dr. Nalan Gulpinar is an associate professor in Operational Research and Management Sciences at Warwick Business School, The University of Warwick. She holds a PhD in Operational Research. Previously, she was a research lecturer at Imperial Col-lege London. Her research interests are decision-making under uncertainty with applications to performance engineering, finance and economics, worst-case design, risk management and modelling and optimization of stochastic systems. She is the Co-Chair at the 2013 International Conference on Financial Engineering covering topics in finance and banking such as portfolio management, interest rate modelling and investment banking.

Contact person:

Dr. Yüksel Köksal

Continuing Education Centre, Epoka University