The School of Mathematical Sciences champions interdisciplinary research in the field of mathematical sciences that is both theoretically-driven and strong in real-world applicability. From pure mathematics to applied mathematics and statistical modelling, these research works demonstrate the beauty of numbers and the intricacy of algorithms, and their diverse applications in solving problems related to sustainable development goals (SDGs) and planetary health.

To further promote and enhance cross-institutional research collaborations, the school has played host to the bi-monthly mathematics colloquium, which was first held in July 2020.

The colloquium serves as a platform for academics from various institutions to exchange research ideas. The school is honoured to host the academic talks, delivered by prominent and distinguished speakers, all of whom are experts in their respective fields of mathematical sciences.

The colloquium has also played host to academics from various international institutions, which include those from Australia, China, Indonesia, Israel, Malaysia, Mongolia, Poland, and South Korea.

The inaugural talk of the colloquium series was delivered by Professor Teo Kok Lay, Associate Dean (Research and Postgraduate Studies) at the School of Mathematical Sciences, Sunway University who is also a John Curtin Distinguished Emeritus Professor. Professor Teo is a prominent figure in the fields of optimization and control. He has been named among the top 2% of the most-cited scientists and academics in various disciplines from around the world in 2021 by Stanford University. He is also one of the co-authors of the book “Applied and Computational Optimal Control: A Control Parameterization Approach”, published by Springer in 2021.

Professor Teo began the virtual talk by highlighting the significance of portfolio selection models to investors. The foundation of the work in the discipline of portfolio optimization was provided by American economist Harry Markowitz, who proposed the well-known mean-variance model.

In the original mean-variance model, the portfolio variance was chosen as a measure of risk. Researchers have since then proposed other measures, which include the use of the mean absolute deviation.

Professor Teo then introduced the notion of a novel probabilistic measure that could better cater for investors who would like to work with different degrees of risk aversion. Mathematically speaking, the proposed model seeks to maximize the expected value of return of the portfolio, and at the same time, minimize the maximum individual risk of the assets of the portfolio.

Such formulation is also known as a bi-criteria optimization problem, and it can be shown that it is equivalent to a linear programming problem.

The proposed probabilistic risk measure could be employed to solve portfolio optimization problems involving both the single period case, as well as the multi-period case. Professor Teo also presented the derivation of the analytical solutions for both cases.

As the innovative method proposed by Professor Teo allows for an explicit solution, it offers various advantages over other methods proposed by earlier researchers. As a concluding remark, Professor Teo also mentioned that the new probabilistic risk measure introduces flexibility for investors who allow different degrees of risk aversion.

Professor Teo’s theoretical and empirical mathematical research works have enriched the literature in the field of portfolio optimization. Such works have practical applications in stock market trading, which has always been a subject of interest not only to investors but also to mathematics researchers.

Professor Teo Kok Lay 
School of Mathematical Sciences
Email: @email