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ISSUE 31 | May 2017

Research Seminar
7 February 2017

On 7 February 2017 Prof. Cao Xi-Ren, Chair Professor of Shanghai Jiao Tong University, gave a seminar on “Why Dynamic Programming Is Not Good Enough”. According to Prof. Cao, with its intrinsic weakness, dynamic programming fails to address many problems. It cannot solve, for example, the under selective issue of long-run average; i.e., the optimal policy does not depend on the actions in any finite period. Some of these problems, he mentioned, hinders the development of further research due to lack of insights. As a result, degenerate diffusions are not well investigated. Prof. Cao and his co-authors introduced an alternative approach called relative optimization, which is based on a direct comparison of the performance measures under any two policies, and it provides global information to the optimization problem. With this approach, optimality conditions that take under selectivity into consideration can be derived. For long-run average performance, the effect of non-smooth value function can be ignored. And for finite horizon problems and optimal stopping, optimality condition can be derived at the non-smooth points of the value function.

Prof. Cao holds a PhD from Harvard University and has worked as a consulting engineer for Digital Equipment Corporation in the US, a Research Fellow at Harvard University, as well as a Reader, Professor, and Chair Professor at Hong Kong University of Science and Technology. His current research areas include stochastic control, financial engineering, stochastic learning and optimization, and discrete event dynamic systems.

Research Seminars
14 February and 1 March 2017

During his visit to RMI, Prof. Ulrich Horst, Head of Mathematics Department at Humboldt University of Berlin, held two research seminars in the months of February and March at RMI. On 14 February, Prof. Horst gave a talk on, “Portfolio Liquidation under Market Impact”, in which he reviewed various approaches to optimal portfolio liquidation and discussed some of the mathematical challenges arising in such models.

On 1 March, Prof. Horst conducted a second research seminar titled, “Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience.” This talk was based on his joint work with Prof. Paulwin Graewe also from the Humboldt University of Berlin. They studied an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In their model the value function is described by a three-dimensional system of backward stochastic differential equations (BSDE) with a singular terminal condition in one component. This seminar was hosted by RMI jointly with Centre for Quantitative Finance (CQF).

Acing in Interview Skills: MFE Workshop
7 March 2017

How can one make sure that they leave a memorable impression during an interview and get the job offer? Mr. Jonathan Kwan Managing Director of Kwantum Leap Group answered this exact question in a Master of Science in Financial Engineering (MFE) workshop on 7 March 2017. Using interactive techniques (e.g. role-playing, games and videos), the workshop provided tips and frameworks to help candidates in behavioral interview situations. In addition, the workshop also discussed how to start strong with a comprehensive "tell me about yourself", and how to ask good questions at the end to leave a lasting impression on the interviewer.

Mr. Kwan has over 15 years of experience as a career coach and management consultant. He is currently an external career advisor for the world’s top business schools, including Cambridge, INSEAD, and Hong Kong University of Science and Technology (HKUST). This workshop was part of RMI’s growing efforts to provide comprehensive career services to its MFE Students.

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Published quarterly by Risk Management Institute, NUS
Editor: Shivani Nakhare (