| Topic | People | Description |
|---|---|---|
| JEL C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Bruno Giacomello
Alessandro Gnoatto Cecilia Mancini Alberto Peretti Paolo Pertile Alberto Roveda |
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. |
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