A night of mathematical optimization

We have another double act for this meetup, this time with the theme of mathematical optimization. We'll hear about two different optimization techniques, with concrete practical examples, and implemented in R of course.

Thanks again to Servian for hosting and us and providing catering. Note their new address.

Rough agenda:

5:45 - Food and drinks
6:15 - First presentation
6:45 - Second presentation
7:15 - Q&A
7:45-8 More networking and close

First presentation: Optimization on the Ground

Jonathan Scanlan will work through an example of using mixed integer programming to get the best return on physical advertising.

Jonathan holds a Master of Statistics and Operations Research from RMIT. Since graduating with distinction in 2015, he has been working in marketing technology (MarTech) with a heavy focus on making data more accessible to the people who need it.

Second presentation: Introduction to portfolio optimization - a risk parity approach

Alison Miller will present an example of using constrained optimization techniques in R to solve for a risk parity portfolio, utilizing the nloptr package.

Allison is an Assistant Portfolio Manager in the Quantitative Equities team at Victorian Funds Management Corporation, which manages over $60 billion for 30 Victorian public authorities and related organisations. She has worked in London, China and the United States, has a BA (Hons) in International Relations from Brown University and a Master of Economics (Hons) from the University of Melbourne, and is a CFA charterholder.