Stochastic Programming

CANCELLED

Practical Issues in Applying Stochastic Optimization in Finance

Bob Rush
Bond Department
John Hancock

CANCELLED

Abstract:

The multi-stage stochastic optimization problem has been proposed as a major advance in the tools available to address uncertainty in finance. We explore the merits of this claim, and use a practical problem pulled from the corporate bond investing world to illustrate the issues raised in our exploration. Specifically, the problem we address is: ``Defining Sector Allocation Limits for Corporate Bond Investing''.

Host: John Mitchell (mitchj@rpi.edu, x6915)

Thursday, December 5, 2002
Carnegie 106 - 12 noon to 2pm
12-1: Introduction to stochastic optimization
1-2: Discussion of a real world problem.