|
How to make optimal decisions in the presence of uncertainty, solution
techniques for large-scale systems resulting from decision problems under
uncertainty, and selected applications in finance. Decision trees, utility,
two-stage and multi-stage decision problems, approaches to stochastic
programming, model formulation; large-scale systems, Benders and Dantzig-Wolfe decomposition, Monte Carlo sampling and
variance reduction techniques, risk management, portfolio optimization,
mortgage finance.
The course includes a class project, involving teams,
where typically a practical financial problem is analyzed, discussed, and
presented at the end of the course.
The course qualifies as a full project course.
Professor:
Gerd Infanger
Date:
Tuesday and Thursday11:00--12:15
Location:
Terman 152
Text:
Infanger: Planning Under Uncertainty,
Boyd and Fraser 1994 (can be obtained
from the instructor)
Birge, Louveaux: Introduction to Stochastic Programming,
Springer 1997 (recommended)
Dantzig:
Linear Programming and Extensions, Part I and II, Springer
(recommended)
Project: dynamic portfolio optimization and portfolio insurance,
details yet to be determined
Final Exam: if, date and time yet
to be determined
|
|
