PhD Project: Simulation-based stochastic control for portfolio management

September 26th, 2016

Stochastic optimization methods are critical to assist portfolio managers with the asset allocation problems they are facing. When the number of possible assets is high, simulation-based methods are the numerical method to favour. The purpose of this project is to improve the Regression Monte Carlo numerical algorithm used by CSIRO for portfolio allocation, and adapt it to similar stochastic optimization projects faced by portfolio managers, such as dynamic hedge ratio computation, and optimal portfolio liquidation under time constraints.

Keywords: Stochastic control, Least-squares Monte Carlo, computational finance, portfolio allocation, dynamic hedge ratio, portfolio liquidation

Applications can be made by selecting the below link.

Please attach supporting documentation including a covering letter outlining why you would like to undertake the PhD project and a current CV including 2 referees. Please note that more than one application can be made if  you wish to be considered for more than one PhD project.

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