Seminar: Financial portfolio optimisation Event as iCalendar

13 April 2015

3 - 4pm

Venue: Room 439.201

Location: Level 2, UniServices House, 70 Symonds Street

Host: Dr Richard Clarke

Contact email: rj.clarke@auckland.ac.nz

 

A Department of Engineering Science seminar by Katerina Papadaki, London School of Economics.

 

Abstract:

We formulate the multistage portfolio selection problem with transaction costs as a dynamic program and solve it using approximate dynamic programming (ADP) methods. We implement linear and piecewise linear approximations for the value functions. Extensive simulations are performed using equity data from the FTSE 100 Index, where the ADP methods are evaluated and compared against the market, the equally-weighted portfolio, a single-period portfolio and the multistage stochastic programming method.