关于举行徐凤敏教授（西安交通大学）学术报告的通知

报告题目: Sparse Robust Enhanced Indexation Optimization

报 告 人: 徐凤敏 教授

报告时间: 2025年 11月 28 日（星期五）16:10-17:40      

地   点：1号楼1303

邀 请 人: 潘少华教授

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数学学院

2025年11月25日

报告摘要：

In this talk, we investigate two enhanced indexation methodologies using sparse and robust optimization, including two main parts. Part I: we develop a sparse ℓ1/2 regularization model of enhanced indexation, which is expected to avoid the overfitting and promote a better out-of-sample performance. An Alternating Quadratic Penalty (AQP) method is proposed to solve this nonconvex optimization problem. Under some suitable assumptions, we establish that any accumulation points of the sequence generated by the AQP method is a KKT point. Part II: we describe the tail risk of enhanced indexation using the worst-case CVaR of excess returns, and the process of industry selection using a weighted ℓ-{∞,1}-norm constraint. We develop an accelerated alternating minimization algorithm for solving this problem. The global convergence rates in terms of the primal and dual residuals are also provided. Finally, empirical tests on actual data sets are presented to demonstrate the superior out-of-sample performance of our proposed methods.

报告人简介：

徐凤敏，西安交通大学经济与金融学院教授，金融科技系主任，研究方向为稀疏优化和金融工程，主要集中在投资组合管理、系统性风险等系列问题。已在国内外知名期刊上发表论文50 多篇，其中被 ESCI检索 2 篇。编写专著 4 部。中国双选法学会理事，中国双选法学会经济数学与管理数学分会副理事长,中国运筹学学会数学规划分会常务理事。中国运筹学会金融工程与风险管理分会常务理事。SCI 期刊 RAIRO-Operational Research 以及SSCI 期刊ITOR 的区域主编。