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Tuesday, August 28, 2018

Seminar 217, Risk Management: Is motor insurance ratemaking going to change with telematics and semi-autonomous vehicles?

Seminar | August 28 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Montserrat Guillen, University of Barcelona

Consortium for Data Analytics in Risk


Many automobile insurance companies offer the possibility to monitor driving habits and distance driven by means of telematics devices installed in the vehicles. This provides a novel source of data that can be analysed to calculate personalised tariffs. For instance, drivers who accumulate a lot of miles should be charged more for their insurance coverage than those who make little use of their...   More >

Tuesday, September 4, 2018

Seminar 217, Risk Management: On Optimal Options Book Execution Strategies with Market Impact

Seminar | September 4 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Saad Mouti, UC Berkeley

Consortium for Data Analytics in Risk


We consider the optimal execution of a book of options when market impact is a driver of the option price. We aim at minimizing the mean-variance risk criterion for a given market impact function. First, we develop a framework to justify the choice of our market impact function. Our model is inspired from Leland’s option replication with transaction costs where the market impact is directly part...   More >

Tuesday, September 11, 2018

Seminar 217, Risk Management: Capacity constraints in earning, and asset prices before earnings announcements

Seminar | September 11 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Tamas Batyi, UC Berkeley

Consortium for Data Analytics in Risk


This paper proposes an asset pricing model with endogenous allocation of constrained learning capacity, that provides an explanation for abnormal returns before the scheduled release of information about firms, such as quarterly earnings announcements. In equilibrium investors endogenously focus their learning capacity and acquire information about stocks with upcoming announcements, resulting in...   More >

Saturday, September 15, 2018

Science Lecture - Artificial Intelligence and the long-term future of humanity

Lecture | September 15 | 11 a.m.-12:30 p.m. | 100 Genetics & Plant Biology Building


Stuart Russell, Department of Electrical Engineering and Computer Sciences

Science@Cal


The news media in recent years have been full of dire warnings about the risk that AI poses to the human race, coming from well-known figures such as Stephen Hawking and Elon Musk. Should we be concerned? If so, what can we do about it? While some in the mainstream AI community dismiss these concerns, Professor Russell will argue instead that a fundamental reorientation of the field is required...   More >


All Audiences, Alumni, Faculty, Friends of the University, General Public, Staff, Students - Graduate, Students - Prospective, Students - Undergraduate, Cal Parents

All Audiences, Alumni, Faculty, Friends of the University, General Public, Staff, Students - Graduate, Students - Prospective, Students - Undergraduate, Cal Parents

Tuesday, September 18, 2018

Seminar 217, Risk Management: Nonstandard Analysis and its Application to Markov Processes

Seminar | September 18 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Haosui Duanmu, UC Berkeley

Consortium for Data Analytics in Risk


Nonstandard analysis, a powerful machinery derived from mathematical logic, has had many applications in probability theory as well as stochastic processes. Nonstandard analysis allows construction of a single object - a hyperfinite probability space - which satisfies all the first order logical properties of a finite probability space, but which can be simultaneously viewed as a...   More >

Tuesday, September 25, 2018

Seminar 217, Risk Management: A Deep Learning Investigation of One-Month Momentum

Seminar | September 25 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Ben Gum, AXA Rosenberg

Consortium for Data Analytics in Risk


The one-month return reversal in equity prices was first documented by Jedadeesh (1990), who found that there was a highly significant negative serial correlation in the monthly return series of stocks. This is in contrast to the positive serial correlation of the annual stock returns. Explanations for this effect differ, but the general consensus has been that the trailing one-month return...   More >

Tuesday, October 2, 2018

Seminar 217, Risk Management: Predicting Portfolio Return Volatility at Median Horizons

Seminar | October 2 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Dangxing Chen, UC Berkeley

Consortium for Data Analytics in Risk


Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-term investors, such as Defined...   More >

Tuesday, October 9, 2018

Seminar 217, Risk Management: Robust Learning: Information Theory and Algorithms

Seminar | October 9 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Jacob Steinhardt, Stanford

Consortium for Data Analytics in Risk


This talk will provide an overview of recent results in high-dimensional robust estimation. The key question is the following: given a dataset, some fraction of which consists of arbitrary outliers, what can be learned about the non-outlying points? This is a classical question going back at least to Tukey (1960). However, this question has recently received renewed interest for a combination of...   More >

Tuesday, October 16, 2018

Seminar 217, Risk Management: Asymptotic Spectral Analysis of Markov Chains with Rare Transitions: A Graph-Algorithmic Approach

Seminar | October 16 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Tingyue Gan, UC Berkeley

Consortium for Data Analytics in Risk


Parameter-dependent Markov chains with exponentially small transition rates arise in modeling complex systems in physics, chemistry, and biology. Such processes often manifest metastability, and the spectral properties of the generators largely govern their long-term dynamics. In this work, we propose a constructive graph-algorithmic approach to computing the asymptotic estimates of eigenvalues...   More >

Tuesday, October 23, 2018

Seminar 217, Risk Management: Proliferation of Anomalies and Zoo of Factors – What does the Hansen–Jagannathan Distance Tell Us?

Seminar | October 23 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Xiang Zhang, SWUFE

Consortium for Data Analytics in Risk


Recent research finds that prominent asset pricing models have mixed success in evaluating the cross-section of anomalies, which highlights proliferation of anomalies and zoo of factors. In this paper, I investigate that how is the relative pricing performance of these models to explain anomalies, when comparing their misspecification errors– the Hansen–Jagannathan (HJ) distance measure. I find...   More >

Tuesday, November 13, 2018

Seminar 217, Risk Management: Putting the 'I' in IPO

Seminar | November 13 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speakers: Chi Zhang, Kamyar Kaviani, Nikita Vemuri, and Simon Walter, UC Berkeley

Consortium for Data Analytics in Risk


As an alternative to traditional loans, young people could issue securities that pay dividends that depend on their future financial success in life. This type of a personal IPO is especially desirable for young people, who for example may need money for a college education, because it allows them to shift the risk of repayment to investors who bet on their future success, unlike in a traditional...   More >

Tuesday, November 27, 2018

Seminar 217, Risk Management: Bankruptcy Claim Dischargeability and Public Externalities: Evidence from a Natural Experiment

Seminar | November 27 | 11 a.m.-12:30 p.m. | 1011 Evans Hall


Speaker: Michael Ohlrogge, Stanford

Consortium for Data Analytics in Risk


In 2009, the Seventh Circuit ruled in U.S. v. Apex Oil that certain types of injunctions requiring firms to clean up previously released toxic chemicals were not dischargeable in bankruptcy. This was widely perceived to represent a split with Sixth Circuit precedent, although Supreme Court cert was denied. Numerous legal commentators wrote of the significance of this decision in strengthening...   More >

Wednesday, December 5, 2018

Collider Cup III

Special Event | December 5 | 10 a.m.-3 p.m. | 310 Jacobs Hall


Sutardja Center for Entrepreneurship & Technology


The Collider Cup is SCET's all-star showcase of the best student teams from this Fall 2018 semester. Come watch teams pitch to panels of professors, investors and industry experts as they vie to win the grand prize, the Collider Cup!

New this semester, the top three teams from the event will receive automatic final round meetings with Arrow Capital for the potential to receive $15K to $50K in...   More >

Tuesday, January 22, 2019

Peter Zhang - Dynamic optimization on networks: designing biodefense supply chain

Seminar | January 22 | 3:30-5 p.m. | 306 Soda Hall


Peter Zhang, Massachusetts Institute of Technology

Industrial Engineering & Operations Research


Abstract: Bioattacks, i.e., the intentional release of pathogens or biotoxins against humans to cause serious illness and death, pose a significant threat to public health and safety due to the availability of pathogens worldwide, scale of impact, and short treatment time window. I model the defender’s static antibiotic inventory prepositioning decision and dispensing capacity installation...   More >

Monday, January 28, 2019

Ozge Yapar - Bayesian Sequential Learning for Clinical Trials of Multiple Correlated Medical Interventions

Seminar | January 28 | 1-2:30 p.m. | Haas School of Business, Chou Hall N370


Ozge Yapar, University of Pennsylvania

Industrial Engineering & Operations Research


Abstract: We integrate emerging trends intended to improve clinical trial design: design for cost-effectiveness, which ensures health-economic improvement of a new intervention over the current standard intervention; adaptive design, which dynamically adjusts the sample size and allocation of patients to different interventions; and multi-arm trial design, which compares multiple interventions...   More >



Paul Glasserman - Does Unusual News Forecast Market Stress?

Seminar | January 28 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Paul Glasserman, Columbia University

Industrial Engineering & Operations Research


Abstract: Applying sentiment analysis to news articles on large financial companies, we find that an increase in “unusual” negative news predicts an increase in stock market volatility and thus potential market stress. Similarly, unusual positive news forecasts lower volatility. Our analysis is based on more than 360,000 articles on 50 large financial companies, published in 1996–2014....   More >

Friday, February 1, 2019

Raga Gopalakrishnan - Integrating Behavior, Economics, and Operations in Urban Mobility: Ridesharing and Multi-Modal Travel

Seminar | February 1 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Raga Gopalakrishnan, Cornell University

Industrial Engineering & Operations Research


Abstract: In today’s urban mobility marketplaces, both operational policies (e.g., matching, routing) and economic mechanisms (e.g., pricing, incentives) affect perceptions of Quality of Service (QoS) and users’ mobility choices. These, in turn, affect both operational objectives (e.g., utilization, vehicle-miles travelled) and economic objectives (e.g., profit, welfare). We study these complex...   More >

Friday, February 8, 2019

Sébastien Martin - From School Buses To Start Times: Driving Policy With Optimization

Seminar | February 8 | 3:30-4:30 p.m. |  Etcheverry Hall


Sébastien Martin, Massachusetts Institute of Technology

Industrial Engineering & Operations Research


Abstract: Maintaining a fleet of buses to transport students to school is a major expense for U.S. school districts. In order to reduce costs by reusing buses between schools, many districts spread start times across the morning. However, assigning each school a time involves estimating the impact on transportation costs and reconciling additional competing objectives. Facing this intricate...   More >

Monday, February 11, 2019

Daniel Lacker - Beyond Mean Field Limits: Local Dynamics For Large Sparse Networks Of Interacting Diffusions

Seminar | February 11 | 2-3 p.m. | 1174 Etcheverry Hall


Daniel Lacker, Columbia University

Industrial Engineering & Operations Research


Abstract: We study large systems of stochastic processes (particles) in which each particle is associated with a vertex in a graph and interacts only with its neighbors. When the graph is complete and the numbers of particles grows to infinity, the system is well-described by a McKean-Vlasov equation, which describes the behavior of one typical particle. For general (sparse) graphs, the system is...   More >



Chiwei Yan - Transportation Optimization: Data-enabled Advances in a Sharing Economy

Seminar | February 11 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Chiwei Yan, Massachusetts Institute of Technology

Industrial Engineering & Operations Research


Abstract: The transportation and logistics industries are undergoing a round of revolutionary innovation. This innovation is fueled by two key drivers: (1) the growing availability of data, and (2) new operational paradigms in a sharing economy. This talk focuses on showcasing how new models, enabled by the prevalence of data, can lead to significant value in operational decision-making.

We...   More >

Thursday, February 14, 2019

The Future of Foods - Alt.Meat

Special Event | February 14 | 4-6 p.m. | 306 Soda Hall


Kim Juelg, Flavorist, Givaudan

Scott May, Head, MISTA

Danny Rubenstein, Strategic Advisor, Mista; Matt Spears, Associate Account Manager, Givaudan; Julie Emsing Mann, Global Protein Program Manager, Ingredion; Kora Kukic, Senior Plant Protein Specialist, Nestle; Joe Light, Vice President, Ingredion

Industrial Engineering & Operations Research


The event will feature a panel of industry experts in the growing landscape of food engineering, flavoring, and meat alternatives. What is the future of meat alternatives? How will humans eat in the future? How will our relationship with food change?

Friday, February 15, 2019

Beste Basciftci - Value of Optimization under Uncertainty and Integration of Data in Energy Supply Chains

Seminar | February 15 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Beste Basciftci, Georgia Institute of Technology

Industrial Engineering & Operations Research


Abstract: Most of the real-life problems involve uncertainty, which need to be delicately integrated into the decision-making processes. In this talk, we present various stochastic optimization techniques motivated by maintenance, operations and capacity expansion planning problems in energy systems. In the first part of the talk, our aim is to effectively model and solve the integrated...   More >

Monday, March 11, 2019

Alper Atamturk – Sparse Estimation: Closing the Gap Between L0 and L1 Models

Seminar | March 11 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Alper Atamturk, University of California, Berkeley

Industrial Engineering & Operations Research


Sparse statistical estimators are increasingly prevalent due to their ease of interpretability and superior out-of-sample performance. However, sparse estimation problems with an L0 constraint, restricting the support of the estimators, are challenging (typically NP-hard, but not always) non-convex optimization problems. Consequently, academicians and practitioners commonly turn to convex L1...   More >

Monday, March 18, 2019

Jeffrey Linderoth – Perspectives on Integer Programming in Sparse Optimization

Seminar | March 18 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Jeffrey Linderoth, University of Wisconsin - Madison

Industrial Engineering & Operations Research


Abstract: Algorithms to solve mixed integer linear programs have made incredible progress in the past 20 years. Key to these advances has been a mathematical analysis of the structure of the set of feasible solutions. We argue that a similar analysis is required in the case of mixed integer quadratic programs, like those that arise in sparse optimization in machine learning. One such analysis...   More >

Monday, April 1, 2019

Zeyu Zheng - Non-stationary Markov processes: Approximations, simulation, and decision-making

Seminar | April 1 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


Zeyu Zheng, University of California, Berkeley

Industrial Engineering & Operations Research


In many Markov modeling contexts, the system under consideration exhibits strong time-of-day effects, day-of-week effects, or seasonality effects. In fact, most real-world systems that are modeled as Markov processes exhibit such non-stationarities. Nevertheless, the great majority of the academic literature focuses on modeling and theory for Markov processes with stationary transition...   More >

Monday, April 8, 2019

David Morton — Models and Algorithms for Multi-stage Stochastic Programming

Seminar | April 8 | 3:30-4:30 p.m. | 1174 Etcheverry Hall


David Morton, Northwestern University

Industrial Engineering & Operations Research


Abstract: We consider two classes of multi-stage stochastic linear programs (MSLPs) that lend themselves to solution by stochastic dual dynamic programming (SDDP). First, we consider a distributionally robust MSLP. Here, the specific realizations in each stage are fixed, and distributional robustness is with respect to the probability mass function governing those realizations. Second, we...   More >