讲座题目：Picking winners: Diversification through portfolio optimization

    主讲嘉宾：Teo Chung Piaw (张俊标) 教授

                      新加坡国立大学

    讲座时间：2023年11月14日上午10：00-11：30

    讲座地点：38238威尼斯欢迎你B区88038威尼斯101室

个人简介：

Teo Chung Piaw (张俊标)，新加坡国立大学教务长讲席教授，新加坡国立大学运筹学与商业分析研究所执行经理。他于2019年入选国际运筹学与管理科学协会院士 (INFORMS Fellow)。他目前担任管理科学国际顶刊Management Science的领域主编，曾经担任管理科学国际顶刊Operations Research的领域主编。张俊标教授本科毕业于新加坡国立大学，博士毕业于麻省理工学院。 他的主要研究领域包括服务和制造运营、供应链规划、离散优化和机器学习。

讲座摘要: 

 We develop a general framework for selecting a small pool of candidate solutions to maximize the chances that one will be optimal to a combinatorial optimization problem, under a linear and additive random payoff function. We formulate this problem using a two-stage distributionally robust model, with a mixed 0-1 semidefinite program. This approach allows us to exploit the “diversification” effect inherent in the problem, to address how different candidate solutions can be selected to improve the chances that one will attain ahigh ex-post payoff. More interestingly, using this distributionally robust optimization approach, our model recovers the “evil twin” strategy, well-known in the field of football pool betting, under appropriate settings. We also address the computational challenges of scaling up our approach to construct a moderate number of candidate solutions to increase the chances of finding one that performs well. To this end, we develop a sequential optimization approach based on a compact semidefinite programming reformulation of the problem. Extensive numerical results show the superiority of our approach over existing methods. To demonstrate the efficacy of this approach, we use this approach to pick winners for popular lottery games. We demonstrate its advantage over random quick pick in the game of lotto.