Programme

• 10Apr
  14:45 - 15:15 (room 321, 3rd floor)

  Registration of participants

  15:15 - 15:30 (room 321, 3rd floor)

  Conference opening

  15:30 - 16:15 (room 321, 3rd floor)

  Dariusz Gątarek, Juliusz Jabłecki, "Towards a general local volatility model for all asset classes"

  16:15 - 16:45 (room 321, 3rd floor)

  Włodzimierz Ogryczak, "Linear Programming models for portfolio selection based on reward- risk ratio optimization and its application to the enhanced index tracking"

  16:45 - 17:15 (room 405, 4th floor)

  coffee break

  17:15 - 17:45 (room 321, 3rd floor)

  Agnieszka Rygiel, "Robust superhedging of multi- asset options with convex transaction costs"

  18:00 - (club hall (room 409), 4th floor)

  Dinner

• 11Apr
  09:30 - 10:00 (room 321, 3rd floor)

  Maximilian Wimmer, Sebastian Utz, Ralph E. Steuer, "Socially responsible index tracking"

  10:00 - 10:30 (room 321, 3rd floor)

  Sebastian Utz, Ralph E. Steuer, "Not necessary to overfocus on financial performance in strong sustainability investing: evidence from a GABV Bank case study"

  10:30 - 11:00 (club hall (room 409), 4th floor)

  coffee break

  11:00 - 11:45 (room 321, 3rd floor)

  Michael Emerich, Iryna Yevseyeva, "Portfolio optimization in non-financial application domains"

  11:45 - 13:00 (room 321, 3rd floor)

  General discussion

  13:00 - 15:00

  Lunch

  15:00 - 15:45 (room 321, 3rd floor)

  Andrzej Palczewski, Bogdan Grechuk, Jan Palczewski, "Black- Litterman model for continuous distributions and general risk measures"

  15:45 - 16:15 (room 321, 3rd floor)

  Piotr Nowak, Maciej Romaniuk, "Valuing catastrophe bonds involving dependence and the CIR interest rate model"

  16:15 - 16:45 (room 405, 4th floor)

  coffee break

  16:45 - 17:15 (room 321, 3rd floor)

  Marcin Pitera, "Why be biased? New lessons for backtesting and estimation of risk"

  18:00 - (club hall (room 409), 4th floor)

  Dinner

• 12Apr
  09:30 - 11:50 (room 321, 3rd floor)

  A mini- stream- Dealing with "large scale"- computational issues (5 presentations)

  09:30 - 10:00 (room 321, 3rd floor)

  Ralph E. Steuer, "On the difficulties of extending Markowitz portfolio selection to problems with three or more criteria"

  10:00 - 10:20 (room 321, 3rd floor)

  Przemysław Juszczuk, "Low cardinality approximations of the Pareto front"

  10:20 - 10:40 (room 321, 3rd floor)

  Janusz Miroforidis, "How to convince the decision maker to make use of approximate Pareto fronts?"

  10:40 - 11:10 (club hall (room 409), 4th floor)

  coffee break

  11:10 - 11:30 (room 321, 3rd floor)

  Dmitry Podkopaev, "Which assets are essential?"

  11:30 - 11:50 (room 321, 3rd floor)

  Ignacy Kaliszewski "Approximating Pareto fronts by solving series of linear problems"

  11:50 - 12:20 (room 321, 3rd floor)

  Andrzej Skulimowski, "Monotonic aggregation transform and its applications to modeling the time series information contents"

  12:20 - 13:00 (room 321, 3rd floor)

  General discussion and conference closing