Portfolio theory and derivative pricing

27.03.2019 - 29.03.2019 | Warsaw

The Institute of Mathematics and the Systems Research Institute (both "of the Polish Academy of Sciences”) organized on March 27 - 29, 2019, in Warsaw a mini-conference on Portfolio theory and derivative pricing. The conference was the second of this kind, the previous was held in April 2018 and was organized by the same institutions and also in Warsaw, under the title Large-scale portfolio investments (Beyond the Markowitz portfolio theory).
The event was meant to bring together a group of researchers actively working in the area of portfolio theory (pure and applied aspects were of interest) and derivative pricing. The overall goal was to achieve a synergy from diverse specific expertise represented by participants to produce methodologies with a potential to go beyond the classic portfolio theory – an inherently multiple criteria topic - both in the theoretical and computational aspects. The program included general discussions and contribution presentations (9 contributions were presented).

The program committee consisted of Łukasz Stettner from the Institute of Mathematics, Dariusz Gątarek and Ignacy Kaliszewski from the Systems Research Institute.

Other participants: Elisa Alos, Oksana Chernova, Sitadri Roy Choudhuri, Henryk Gacki, Wiesław Grygierzec, Jacek Jakubowski, Damian Jelito, Przemysław Juszczuk, Leszek Klukowski, Janusz Miroforidis, Zofia Michalik, Andrzej Myśliński, Mariusz Niewęgłowski, Piotr Nowak, Dmitry Podkopaev, Tomasz Rogala, Agnieszka Rygiel, Martin Schweizer, Andrzej M.J. Skulimowski, Ralph E. Steuer, Kinga Tikosi, Sławomir Tomaszewski, Maciej Wiśniewolski, Maximilian Wimmer, Anton Yurchenko-Tytarenko.

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