Prof. Melvyn Sim
National University of Singapore
Talk:
Dual representation of choice and aspirational preferences
Abstract:
We consider choice over a set of monetary acts (random variables) and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts, over which concentration is instead preferred. This structure encompasses a number of known models in this setting. We show that such preferences can be expressed in dual form in terms of a family of measures of risk and a target function. Specifically, the choice function is equivalent to selection of a maximum index level such that the risk of beating the target function at that level is acceptable. This dual representation may help to uncover new models of choice. One that we explore in detail is the special case of a bounded target function. This case corresponds to a type of satisficing and has descriptive relevance. Moreover, the model results in optimization problems that may be efficiently solved in large-scale.
Biography:
Dr. Melvyn Sim is an associate professor in the Department of Decisions Sciences, NUS Business school. He holds the Dean's chair and is the deputy head of the department. He earned his PhD in Operations Research from MIT, 2004. Dr. Sim's research interests fall broadly under the categories of decision making and optimization under uncertainty with applications ranging from finance, supply chain management to engineered systems. He is one of the active proponents of Robust Optimization and has given invited talks in this field at international conferences. Dr. Sim won second places in the 2002 and 2004 George Nicholson best student paper competition and emerged first place in the 2007 Junior Faculty Interest Group (JFIG) best paper competition. He is also the recipient of the 2009 NUS outstanding young researcher award. Dr. Sim serves as an associate editor for Management Science, IIE Transactions and Mathematical Programming Computations.
