Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis (AMNA)

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Prof. Dr. Soňa Kilianová

Lecture Winter Term 2019/20:

Advanced Topics in Portfolio Optimization
(Advanced Topic)



Outline
 
15.10.2018

Part I: Convex extensions of the Markowitz portfolio selection problem

Part II: Risk measures and decision models

Part III: Hamilton-Jacobi-Bellman equation for dynamic portfolio optimization problems



University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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