应数学与计算科学学院、广西应用数学中心（桂林电子科技大学）及广西高校数据分析与计算重点实验室邀请，浙江师范大学罗和治教授将于2026年1月14日来校讲学，欢迎全校师生踊跃参加。报告具体安排如下：

报告主题：A novel global algorithm for optimal portfolio selection with maximum relative marginal risk

报告人：罗和治教授

时间：2026年1月14日（星期三）下午16:00

地点：花江慧谷4号楼310报告厅

讲座摘要：We consider in this paper an optimal portfolio selection with an additional objective of minimizing the maximum relative marginal risk, a novel measure of risk diversification. Its optimization model is to minimize the sum of a quadratic form and a maximum of quadratic fractional functions subject to linear constraints, which is an NP-hard non-convex and non-smooth optimization problem. First, we reformulate this non-convex optimization problem as an equivalent non-convex quadratically constrained quadratic programming (QCQP). We then propose a successive convex optimization (SCO) algorithm for this non-convex QCQP based on the second-order cone programming (SOCP) approximation and show that it either converges to or terminates finitely to a quasi-$\epsilon$-local solution of this non-convex QCQP. Second, we develop a novel branch-and-bound algorithm to find  a globally optimal solution to this non-convex QCQP within a pre-specified $\epsilon$-tolerance by integrating the SCO approach, the SOCP relaxation and the adaptive branch-and-cut rule. We establish the convergence and the complexity of the proposed algorithm. Finally, we conduct numerical experiments to demonstrate the effectiveness of the proposed algorithm in finding a globally optimal solution to medium and large-scale random instances.

报告人简介：罗和治，博士，浙江师范大学“双龙学者”特聘教授（A类）、博士生导师，浙江省“151人才工程”第二层次入选者。现任中国运筹学会理事，中国运筹学会数学规划分会常务理事。主要研究方向为全局最优化理论与算法及其在金融工程中的应用。已在国际运筹与优化权威期刊《SIAM Journal on Optimization》、《Mathematical Programming Computation》、《INFORMS Journal on Computing》、《Mathematical Finance》和《Computational Optimization and Applications》等上发表SCI论文30余篇。主持了国家自然科学基金面上项目4项，国家自然科学基金区域创新联合基金重点项目子课题1项，中国博士后科学基金特别资助项目1项，浙江省自然科学基金重点项目1项和面上项目3项。曾获中国运筹学会青年科技奖提名奖（2010）、浙江省自然科学学术奖三等奖（2012）。