- Tuesday, Jan 8:
Introduction
- Thursday Jan 10:
Large-Scale Portfolio Optimization
- Tuesday, Jan 15:
Illustrative Examples of Optimization Under Uncertainty
- Thursday, Jan 17:
Different Solutions to Optimization Under Uncertainty, EVPI, VSS
- Tuesday, Jan 22:
Project Discussion
- Thursday, Jan 24:
Dynamic Asset Allocation
- Tuesday, Jan 29:
Decomposition Techniques
- Thursday, Jan 31:
Decomposition Techniques
- Tuesday, Feb 5:
Approaches to Stochastic Programming
- Thursday, Feb 7: Monte Carlo Sampling Techniques
- Tuesday, Feb12: Monte Carlo Sampling Techniques
- Thursday, Feb 14:
Probabilistic Bounds in Optimization Under Uncertainty
- Tuesday, Feb 19:
Probabilistic Bounds in Optimization Under Uncertainty
- Thursday Feb 21:
Multi-Stage Theory
- Tuesday, Feb 26:
Multi-Stage Theory
- Thursday, Feb 28:
Pre-sampling in SP
- Tuesday, Mar 4: Risk
Management and Review of Financial Applications
- Thursday, Mar 6:
Optimization Under Uncertainty in Mortgage Finance
- Tuesday, Mar 11: Class
Projects Discussion
- Thursday,
Mar 13: Class Projects Final Presentation
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