Mathematical Sciences Research Centre Seminar Series

As part of the School of Science and Technology Mathematical Sciences Research Centre Seminar Series, Dr Bogdan Grechuk, University of Leicester, presents: Some challenges in portfolio optimization.

Abstract

Portfolio optimization is the process of finding the proportions of various financial instruments to form a portfolio, which is better than any other feasible portfolio according to some criterion/criteria. The main challenges in portfolio optimization are (i) it is unclear which criteria to use; (ii) not only future rates of returns of financial instruments are unknown, but their distributions are unknown as well; (iii) for a group of individuals with different investment preferences, optimal group portfolio is not the sum of individual portfolios. In this talk, some new approaches for addressing these challenges will be discussed.

All welcome.

This seminar is hosted by Dr David Chappell.

For any enquiries please contact Dr David Chappell.