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Topic | Description | Research area |
---|---|---|
JEL C61 - Optimization Techniques; Programming Models; Dynamic Analysis | Covers theory and methods for optimization problems. Linear programming and mathematical programming. Vector optimization and duality models. Economic applications to the problems of optimal investment choices under conditions of uncertainty and portfolio optimization. Estimation of the parameters of financial models including a risk-neutral assumption and calibration of the models. Stochastic optimization for finding estimators of the volatility of a semimartingale with jumps. |
Quantitative Methods for Economics
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling |
MSC 49M37 - Methods of nonlinear programming type | Methods for solving constrained and unconstrained problems with non-linear functions. This includes the Gradient type methods, Method of conjugate gradient, Newton-type methods, Near-Newton methods, Penalization methods and Interior Point methods. It also covers differentiable and non-differentiable case study, Multi-objective optimization and numerical experimentation of the mentioned methods on test problems and application to real problems. |
Quantitative Methods for Economics
Numerical methods |
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