MATH 735 Risk analysis and stochastic optimization
The course provides a rigorous introduction to optimization methods and mathematical statistics relevant in the domain of applied optimization based on risk-reward decision rules, thus encompassing risk models in commodity and financial markets, and associated one or multi-period optimization problems. Recent evolution of the concept and taxonomy of risk provides a comprehensive mathematical framework to evaluate and assess the exposure to sources of risk whose impact may severely jeopardize effective decision making. The course includes recently developed methods for optimal decision making under uncertainty. Particular emphasis is given to decision models in a dynamic, multiperiod framework.
Distribution
3-0-3