Mathematics and Statistics Seminar Series - Jana Junová (Charles University) | Dipartimento di Scienze Economiche

Mathematics and Statistics Seminar Series - Jana Junová (Charles University)

7 marzo 2023 12:30 - 13:30
Luogo: 
Aula 16, via dei Caniana
Seminari di dipartimento
Persona di riferimento: 
Sebastiano Vitali (sebastiano.vitali@unibg.it)
Strutture interne organizzatrici: 
Dipartimento di Scienze Economiche

"Portfolio optimization with stochastic non-dominance constraints"

 

This work analyses multi-stage portfolio optimization problems with new types of constraints. In particular, we introduce stochastic non-dominance constraints and we compare them with almost stochastic dominance constraints. The focus of the work is the implementation of such problems and the discussion of the outcomes.