Lecture

Portfolio Optimization: Models and Strategies

In course

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Description

This lecture by the instructor covers portfolio optimization under uncertainty, focusing on various decision criteria such as expected value, variance, value-at-risk, and conditional value-at-risk. Different models are presented, including mean-variance functional and value-at-risk minimization, highlighting their implications and practical performance.

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Instructor

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Official source

https://mediaspace.epfl.ch/media/0_6ikhxys2

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Business

Business administration: Risk management

Economics

Microeconomics: Financial economics

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