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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 Thursday 11:00--12:15
Location:
Y2E2 253
Office hours:
Tuesday and Thursday 13:30--14:30
Huang Engineering Center, 3rd floor, room 342
(best make an appointment)
Administrative support:
Lorri Papadaikis
Huang Engineering Center, 3rd floor, room 339
Phone: 650 725-0535
Text:
Infanger:
Planning Under Uncertainty, Boyd and Fraser 1994 (to be obtained from the instructor)
Additional Reading:
Birge, Louveaux: Introduction to Stochastic Programming,
Springer 1997 (recommended)
Infanger: Stochastic Programming, The State of the
Art In Honor Of George Dantzig, Springer 2010 (recommended)
Dantzig and Thapa: Linear Programming and Extensions, Part I
and II, Springer 1997 and 2004 (recommended)
Project: yet to be determined
Final Exam: if, date and time yet to be determined
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