- Tuesday, Jan 6:
Introduction
- Thursday Jan 8:
Large-Scale Portfolio Optimization
- Tuesday, Jan 13: Illustrative
Examples of Optimization Under Uncertainty
- Thursday, Jan 15: Different
Solutions to Optimization Under Uncertainty
- Tuesday, Jan 20: Course
Project discussion
- Thursday, Jan 22: Dynamic
Asset Allocation
- Tuesday, Jan 27: No Class
- Thursday, Jan 29:
Decomposition Techniques
- Tuesday, Feb 3:
Decomposition Techniques
- Thursday, Feb 5: Monte
Carlo Sampling Techniques
- Tuesday, Feb 10: Monte
Carlo Sampling Techniques
- Thursday, Feb 12:
Probabilistic Bounds in Optimization Under Uncertainty
- Tuesday, Feb 17:
Probabilistic Bounds in Optimization Under Uncertainty
- Thursday Feb 19:
Approaches to Stochastic Programming
- Tuesday, Feb 24:
Multi-Stage Theory
- Thursday, Feb 26:
Multi-Stage Theory
- Tuesday, Mar 3: Risk
Management and Stochastic Programming
- Thursday, Mar 5:
Optimization Under Uncertainty in Mortgage Finance
- Tuesday, Mar 10:
Course Projects Discussion
- Thursday,
Mar 12: Course Projects Final Presentation
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