Optimization of Uncertainty and Applications in Finance

Catalog description

How to make optimal decisions in the presence of uncertainty, solution techniques for large-scale systems resulting from decision problems under uncertainty, and 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, asset-liability management, mortgage finance. Projects involving the practical application of optimization under uncertainty to financial planning.