Luis F. Zuluaga. P. C. Rossin College of Engineering and Applied Science Office: Mohler Lab # 327 Lehigh University, Bethlehem, PA 18015

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1 Luis F. Zuluaga Department of Industrial and Systems Engineering Phone: +1 (610) P. C. Rossin College of Engineering and Applied Science Office: Mohler Lab # 327 Lehigh University, Bethlehem, PA Education Ph.D. in Operations Research, Carnegie Mellon University 2004 Dissertation: A Conic Programming approach to Polynomial Optimization Problems: Theory and Applications Minor: Mathematical Finance MS. in Industrial Administration, Carnegie Mellon University 2000 MS. in Industrial Engineering, University of Los Andes (Bogotá, Colombia) 1998 BS. in Electrical Engineering, University of Los Andes 1996 BS. in Physics, University of Los Andes 1996 Awards and Honors Faculty of Business Administration Annual Research Award, University of New Brunswick Faculty of Business Administration Excellence in Teaching Award, University of New Brunswick MBA Society Professor Recognition Award, Faculty of Business Administration, University of New Brunswick (UNB) Andrés Bello Distinction 1989 Awarded for top regional score in college admission test in Colombia Grants and Fellowships NSERC Discovery Grant Program (Individual), Awarded Cdn$20,000 per year for project in distribution-free stochastic optimization NSERC Discovery Grant Program (Individual), Awarded Cdn$20,000 per year for project in problems involving optimization over polynomials AERF Actuarial Foundation/CKER Society of Actuaries Grant Program (Team), 2007 Awarded US$15,000, with S. H. Cox, Y. Lin, and R. Tian, for project on bounds for ruin probabilities. University Research Fund Competition Series 40, UNB, Awarded Cdn$3,000 for project in robust optimization and risk management via convex optimization William Larimer Mellon Fellowship, Carnegie Mellon University, for graduate studies in Operations Research 40 years Fellowship, University of Los Andes, for undergraduate studies in Physics

2 Publications and Papers 1 Accepted or Published: Mortality Portfolio Risk Management, with S. H. Cox, Y. Lin, and R. Tian*, Journal of Risk and Insurance, forthcoming. Computing general static-arbitrage bounds for European basket options via Dantzig-Wolfe decomposition, with J. Peña, X. Saynac*, and J. C. Vera, Algorithmic Operations Research, Volume 5, Number 2 (2010), pp Static-arbitrage lower bounds on the prices of basket options via linear programming, with J. Peña and J. C. Vera, Quantitative Finance, Volume 10, Number 8 (2010), pp Portfolio Risk Management with CVaR-like Constraints, with S. H. Cox, Y. Lin, and R. Tian*, North American Actuarial Journal, Volume 14, Number 1 (2010), pp Improving skewness of mean-variance portfolios, with S. H. Cox, North American Actuarial Journal, Volume 14, Number 1 (2010), pp Bounds for Extreme Probabilities and Value at Risk, with S. H. Cox, Y. Lin, and R. Tian*, Variance, Volume 4, Number 1 (2010), pp Third-order extensions of Lo s semiparametric bound for European call options, with D. Du and J. Peña, European Journal of Operational Research, Volume 198, Issue 2 (2008), pp Improved bounds for the symmetric Rendezvous problem on the line, with Q. Han, D. Du, and J. C. Vera, Operations Research, Vol. 56, No. 3 (2008), pp Exploiting Equalities in Polynomial Programming, with J. Peña and J. C. Vera, Operations Research Letters, Volume 36, Number 2 (2008), pp An estimation-free, robust CVaR portfolio allocation model, with C. Jabbour*, J. Peña, and J. C. Vera, Journal of Risk, Volume 11, Number 1 (2008), pp Optimizing Highway Transportation for the US postal service, with A. Pajunas, E. J. Matto, and M. Trick, Interfaces, Vol. 37 (2007), pp Computing the Stability Number of a Graph Via Linear and Semidefinite Programming, with J. Peña and J. C. Vera, SIAM Journal on Optimization, Vol. 18 (2007), No. 1, pp LMI Approximations for Cones of Positive Semidefinite Forms, with J. Peña and J. C. Vera, SIAM Journal on Optimization, Vol. 16, No. 4 (2006), pp A Conic Programming Programming Approach to Generalized Tchebycheff Inequalities, with J. Peña, Mathematics of Operations Research, 30, No. 2 (2005), pp On Padberg s conjecture about Almost Totally Unimodular matrices ; with G. Cornuéjols, Operations Research Letters, 27 (2000), pp Students identified by an asterisk

3 Submitted: A distribution-free risk-reward newsvendor model: Extending Scarfs min-max order formula with D. Du and Q. Han, submitted to Operations Research, (2012). Positive polynomials on unbounded equality-constrained domains, with J. Peña, and J. C. Vera, submitted to Mathematical Programming, (2011). Computing bounds on the expected payoff of Alternative Risk Transfer products, with A. M. Villegas*, and A. L. Medaglia, submitted to Mathematics: Insurance and Economics, (2010). Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads, with J. Peña and J. C. Vera, submitted to European Journal of Operational Research, (2010). Working papers: Computing optimal Value-at-Risk portfolios, with J. C. Vera. Solving single variable semiparametric bounds without using SDP, with R. Howley*, R. Storer, and J. C. Vera. Linear solution schemes for the mean-semivariance portfolio allocation model, with J. A. Sefair*, C. Y. Mendez*, A. L. Medaglia. Conference Proceedings Improved bounds for the symmetric rendezvous search problem on the line, with Q. Han, D. Du, and J. C. Vera, ACM-SIAM Symposium on Discrete Algorithms (SODA), 2007, Optimal noise levels for Stochastic Resonance, with A. Restrepo and E. Pino, IEEE ICASSP 97, Munich, Proceedings Vol. III, pp Analytical properties of Teager s Filter, with A. Restrepo, H. Ortiz, and V. Ojeda, IEEE ICIP 97, Santa Barbara, California, Proceedings Vol. I, pp Teaching Positions Assistant Professor, Lehigh University, 2012 present Department of Industrial and Systems Engineering, P.C. Rossin College of Engineering and Applied Science. Associate Professor, University of New Brunswick, Faculty of Business Administration. Assistant Professor, University of New Brunswick (UNB), Faculty of Business Administration Instructor, Carnegie Mellon University, Spring 2004 Tepper School of Business. Ph.D. course in semidefinite programming Instructor, University of Los Andes, Department of Physics and Industrial Engineering. BS courses in Physics, Probability, and Stochastic Processes

4 Consulting Contracts As a consultant to Cancillería (State Department) of Colombia: 2011 Develop an optimization-based tool to assign employees salaries at international posts. Joint work with Rodrigo Silva, Asesorías Actuariales Ltda. (Bogotá, Colombia) As a consultant to General Re New England Asset Management, Inc.: Developed optimization technology to take into account the asymmetry of asset returns in the company s Enterprise Based Asset Allocation products. Joint work with Samuel H. Cox As a consultant to IBM Global Business Services: Developed a large-scale vehicle routing-packing optimization model and software for the US Postal Service. Joint work with Michael Trick As a consultant to PricewaterhouseCoopers: Summer 2001 Developed a large-scale optimization model and software for the allocation of the Enforcement Budget of the US Internal Revenue Service. Joint work with Michael Trick As a consultant to Flota Mercante Grancolombiana (Bogotá, Colombia): 1996 Developed a database and software for the management of information related to the maritime transportation of containers. Joint work with Alberto Amaya (Department of Industrial Engineering, University of Los Andes) Pending Funding NSF: Efficiently Computable Convex Approximation Methods for Non-Convex Optimization Problems Program: Operations Research (OR), Civil, Mechanical and Manufacturing Innovatio (CMMI). CAS: Bounds on the expected payments of insurance instruments: A novel computational approach Casualty Actuarial Society, with R. Storer and J. C. Vera. Students and Postdoctoral fellows Supervisor of Y. Liu, 1st year Ph.D. student, Department of Industrial and Systems Engineering, Lehigh University. Supervisor of O. Babat, 1st year Ph.D. student, Department of Industrial and Systems Engineering, Lehigh University. Co-supervisor (with R. Storer) of R. Howley, 2nd year Ph.D. student, Department of Industrial and Systems Engineering, Lehigh University. Co-supervisor (with Sam H. Cox) of R. Tian s Ph.D. thesis, Risk Management and Insurance, Georgia State University (degree granted May 2008) Supervisor of P. Nahravanian s MBA project, Faculty of Business Administration, UNB (degree granted May 2010) Supervisor of Xavier Saynac s MBA thesis, Faculty of Business Administration, UNB (degree granted May 2009) Co-supervisor (with A. Medaglia) of A. Villegas Master thesis, Department of Industrial Engineering, University of Los Andes (degree granted May 2010) Co-supervisor (with A. Medaglia) of S. Galeano s Bachelor thesis, Department of Industrial Engineering, University of Los Andes (degree granted January 2011)

5 Co-supervisor (with D. Jara) of D. Patron s Bachelor thesis, Department of Industrial Engineering, University of Los Andes (degree granted January 2011) Co-supervisor (with A. Medaglia) of C. Muñoz s Bachelor thesis, Department of Industrial Engineering, University of Los Andes (degree granted December 2008) Co-supervisor (with A. Medaglia) of J. Gonzalez s Master thesis, Department of Industrial Engineering, University of Los Andes (degree granted July 2008) Co-supervisor (with D. Du) of post-doctoral fellow Q. Han, Faculty of Business Administration, UNB ( , ) Supervisor BBA Research Assistant Carlos Jabbour, Faculty of Business Administration, UNB (Fall 2006) Recent Academic Service Chair Organizer: Modeling and OPtimization: Theory and Applications (MOPTA) Conference 2012, Lehigh University Co-Editor: Modeling and Optimization: Theory and Applications. Selected Contributions from the MOPTA 2012 Conference. Springer Proceedings in Mathematics & Statistics (PROMS) Series. With T. Terlaky. Organizer: Financial Optimization session at the INFORMS Annual Meeting 2012 Financial Optimization track at the CLAIO 2008 Conference Financial Optimization track at the ICCOPT II & MOPTA 07 Conference Financial Optimization session at the Workshop on Optimization in Finance, Portugal, 2005 Thesis Committee memberships: A. Hassanzadeh s Ph.D. thesis, ISE Department, Lehigh University (degree expected 2013) A. Arboleda s Master thesis, Department of Industrial Engineering, UNB (degree granted 2010) S. Kachua s Ph.D. thesis, Department of Civil Engineering, UNB (degree granted 2011) T. Zhang s Master thesis, Department of Electrical and Computer Engineering, UNB (degree granted 2007) T. Jamtsho s Master thesis, Department of Electrical and Computer Engineering, UNB (degree granted 2007) D. Chen s Master thesis, Deptartment of Computer Science, UNB (degree granted 2007) J. Vera s Ph.D. thesis, Department of Mathematical Sciences, Carnegie Mellon University (degree granted 2006) Guest Editor: JIMO special issue on Financial Optimization Proposal Reviewer: Canada Research Chairs (CRC) Natural Sciences and Engineering Research Council of Canada (NSERC) MITACS College of Reviewers (Canada) Risk Management Institute (Singapore) FONDECYT Funding Competition (Chile). Journal Reviewer: Discrete Applied Mathematics, SIAM Journal on Optimization, ICS 2009, Mathematics of Operations Research, Journal of Global Optimization, COCOON 2007, Operations Research Letters, ISSAC 2006, Optimization, Advances in Operations Research, Information Systems and Operational Research Journal, JIMO Journal.

6 Sabbatical leaves Visiting Professor, London Business School, 01 07/2011 Management Science and Operations group. Visiting Professor, University of Los Andes, 06 12/2010 Department of Industrial Engineering. Recent Presentations Co-positivstellensatz for semialgebraic sets, with J. Peña, and J. C. Vera, INFORMS Annual Meeting, (2011) Computing General Static-arbitrage Bounds for European Basket Options via Dantzig-Wolfe Decomposition, with J. Peña, and J. C. Vera, SIAM Conference on Optimization, (2011) Positive polynomials on unbounded equality-constrained domains, with J. Peña, and J. C. Vera, INFORMS Annual Meeting, (2010) An estimation-free, robust CVaR portfolio allocation model, CLAIO, Cartagena, Colombia, September (2008) Computing optimal VaR portfolios, QMF 2007, Sydnesy, AU, (2007) A Robust CVaR Portfolio Allocation Model Using Option Prices, INFORMS Annual Meeting, (2006) Closed-Form Solutions to Certain Moment Problems with Applications in Business. Workshop on Positive Polynomials and Optimization, Banff International Research Station, Banff, Alberta, (2006) Robust Formulations of Inventory and Portfolio Allocation Problems, 19th ISMP, Brazil, (2006) Robust computation of Expected Values: Applications to Business, Actuarial Symposium, Bogotá, (2006) Exploiting Equalities in Polynomial Programming, CORS/Optimization Days, Montreal, (2006) Extensions of Lo s Semiparametric Bound for European Call Options, INFORMS Annual Meeting, (2005) Optimal Semi-Parametric Bounds for European Rainbow Options, Workshop on Optimization in Finance, Coimbra, Portugal, (2005) References Professor Javier Peña Tepper School of Business, Carnegie Mellon University +1 (412) , jfp@andrew.cmu.edu Professor Donglei Du Faculty of Business Administration, University of New Brunswick +1 (506) , ddu@unb.ca Professor Michael Trick Tepper School of Business, Carnegie Mellon University +1 (412) , trick@cmu.edu