Yinyu Ye is currently the K.T. Li Chair Professor of Engineering at Department of Management Science and Engineering and Institute of Computational and Mathematical Engineering, Stanford University. He is also the Director of the MS&E Industrial Affiliates Program. He received the B.S. degree in System Engineering from the Huazhong University of Science and Technology, China, and the M.S. and Ph.D. degrees in Engineering-Economic Systems and Operations Research from Stanford University. His current research interests include Continuous and Discrete Optimization, Data Science and Application, Algorithm Design and Analysis, Computational Game/Market Equilibrium, Metric Distance Geometry, Dynamic Resource Allocation, and Stochastic and Robust Decision Making, etc. He is an INFORMS (The Institute for Operations Research and The Management Science) Fellow since 2012. He is the Chairman of technical advisory board of MOSEK, one of the major commercial international optimization software companies. In the past, Ye has led and managed a group of researchers on a broader range of government and industrial projects focusing on business analytics, sensor network, big data, risk management, electronic commerce, Internet economics, etc.

Abstract

We describe how MOSEK, a Conic Optimization Solver, can be applied to solve various finance decision problems such as the Markowitz model in the modern portfolio theory, the distributionally robust and data-driven portfolio management, optimal hedge/unwinding strategy, and/or general risk management such as Risk/VarR minimization.