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DTSTART;TZID=Asia/Singapore:20260522T100000
DTEND;TZID=Asia/Singapore:20260522T113000
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CREATED:20260518T033949Z
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SUMMARY:DAO-ISEM-IORA Seminar Series: George Shanthikumar
DESCRIPTION:Name of Speaker\n\n\nGeorge Shanthikumar \n\n\n\n\nSchedule \n\n\n22 May 2026\, 10am – 11.30am \n (60 min talk + 30 min Q&A)\n\n\n\nVenue \n\n\nBIZ1-0302\n\n\n\nLink to register \n(via Zoom)\n\nhttps://nus-sg.zoom.us/meeting/register/nhLjyspHTpuCwf5OfrR7rg\n\n\n\n\nTitle\n\n\nFull Space (FS) Relative Valuations\, Risk Measures and Valuations of Risky Prospects\n\n\n\n\nAbstract \n\n\nThis paper proposes a unified mathematical infrastructure for the valuation of risky prospects:the Full-Space (FS) Relative Valuation framework. This framework generalizes and synthesizes disparate valuation paradigms in economics\, finance\, and insurance into a single\, coherent structure. We demonstrate that the FS framework is both general and tractable. Its core representation is characterized by necessary and sufficient conditions (i.e.\, modularity on the lattice of quantile or distribution functions) and we show it can be generalized to represent any valuation functional as an infimum over FS-type kernels. The framework also possesses desirable theoretical properties (e.g.\, monotonicity\, concave order preservation) and admits practical representations\, including certainty-equivalent construction and a computationally appealing Fenchel-type supremum form. By integrating these features\, FS valuations offer a powerful and versatile foundation for modeling and optimization across disciplines. \n\n\n\n\nAbout the Speaker\n\n\nProfessor Shanthikumar joined the Krannert faculty in 2009. Prior to coming to Purdue\, he was a Chancellor’s Professor of Industrial Engineering and Operations Research at the University of California\, Berkeley. His research interests are in integrated interdisciplinary decision making\, model uncertainty and learning\, production systems modeling and analysis\, queueing theory\, reliability\, scheduling\, semiconductor yield management\, simulation stochastic processes\, and sustainable supply chain management. He has written or co-written more than 250 papers on these topics. He is a co-author (with John A. Buzacott) of the book Stochastic Models of Manufacturing Systems and a co-author (with Moshe Shaked) of the books Stochastic Orders and Their Applications and Stochastic Orders. \nHe was a co-editor of Flexible Services & Manufacturing Journal and is (or was) a member of the editorial boards of the Asia-Pacific Journal of Operations Research\, IEEE Transactions on Automation Sciences and Engineering\, IIE Transactions\, International Journal of Flexible Management Systems\, Journal of Discrete Event Dynamic Systems\, Journal of the Production and Operations Management Society\, Operations Research\, Operations Research Letters\, OPSEARCH\, Probability in the Engineering and Information Sciences\, and Queueing Systems: Theory and Applications.\nProfessor Shanthikumar has extensively consulted for various companies\, including Applied Materials (AMAT)\, Bellcore\, IBM\, KLA-Tencor\, NTT (Japan)\, Intel\, Intermolecular\, ReelSolar\, Safeway\, and Southern Pacific. Through KLA-Tencor\, he has worked on joint development projects for Advanced Micro Devices\, IBM\, Intel\, LSI\, Motorola\, Texas Instruments\, Toshiba\, Fujitsu\, Taiwan Semiconductor Manufacturing Company\, and UMC.
URL:https://iora.nus.edu.sg/events/dao-isem-iora-seminar-series-george-shanthikumar/
CATEGORIES:IORA Seminar Series
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