PhD Project: Solving Portfolio Selection Problems under Gaussian Process
Gaussian process considers all sample observations as a single draw from a multivariate normal distribution while each observation follows a uni-variate marginal normal distribution. This model has drawn great attention in the general academic literature, and offers substantial potential for realistic application to financial asset management, because of its high accuracy for prediction. So far, this model has not been studied in depth within the financial mathematics community. The project will have the potential to generate research outcome of high impact, and importantly, the research output can be incorporated into portfolio selection processes in the asset management industry.
Three potential stages for this project:
- An analytical solution is derived for single period optimization.
- The model is extended to multi-period (with transaction cost).
- A numerical method is developed to solve general problems
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.