SET OPTIMIZATION meets FINANCE
 

Second International Conference on Set-Valued Variational Analysis and Optimization with Applications in Finance, at the Free University of Bozen-Bolzano in Bruneck-Brunico (Italy), September 8-12, 2014                                                                      

 
 

Photos: Andreas H. Hamel


[Disclaimer]

The conference is scheduled just after the International Conference on Operations Research "OR 2014" which will take place in Aachen, Germany, September 2 - 5, 2014.


Confirmed keynote speakers.

    Prof. G. Crespi, University of the Aosta Valley, Italy

    Prof. I. Molchanov, University of Bern, Switzerland

    Prof. T. Pennanen, King's College London, U.K.

    Prof. R. T. Rockafellar, University of Seattle, U.S.A. 


Motivation. Optimization problems with a set-valued objective have been considered since the 1980ies, mainly motivated by duality considerations for vector optimization problems (Corley, Luc and others). A decade later it has been realized that extensions of vector orders to the power set of the underlying vector space can be used to formulate solution concepts and optimality conditions for set-valued optimization problems, and this is still a popular concept (Kuroiwa, Tanaka, Truong and many followers). Another decade later, the lattice approach to set optimization has been formulated by a group of researchers formerly working at University Halle-Wittenberg. This approach synthesizes tools from the other approaches and admits a theory which is completely parallel to the scalar one, a feature that is missing in classical vector optimization.

    Even vector optimization gains from the lattice approach: Many important results (duality), even algorithms are better understood from a lattice, or set-valued, point of view, and new developments could be initiated, both theoretical and numerical.

    Recently, it has been discovered that models for financial markets with frictions (transaction costs, bid ask price spreads, non-constant interest rates, liquidity and trading constraints etc.) very naturally lead to optimization problems which are genuinely set-valued. This seems to be motivation enough to take stock of the development in the field of set-valued variational analysis and optimization as well as its application to financial models, and discuss possible future research areas and questions.


Aim and contributions. The conference is devoted to set and vector optimization, its application in finance and the underlying convex and variational analysis for vector- and set-valued functions as well as module extensions of variational analysis. We invite researchers working on these topics to present their results and discuss their points of view to set-valued optimization including equilibrium problems, variational inequalities, financial models using set-valued functions, ($L^0$-)module structures, scalarization procedures and algorithmic methods for such models. Since we want to bring together people working on (theoretical) set-valued optimization and potential users, we explicitly invite researchers working on financial markets models with frictions to participate.


Organizers.

Andreas H. Hamel (Bozen)

Frank Heyde (Freiberg)

Andreas Löhne (Halle-Wittenberg)

Birgit Rudloff (Princeton)

Carola Schrage (Aosta Valley)

                  

Program Committee.

Frank Heyde (Freiberg)

Yuriy Kaniovski (Bozen)

Michael Kupper (Konstanz)

Boris Mordukhovich (Detroit)

Carola Schrage (Aosta Valley)