Computation Problems in Valuation and Management of Inventory

Computational Finance Group


To study computation problems related to inventory management, and commodity trading. In particular we will be interested in efficient algorithms for evaluating and ranking various decision options, and for estimating portfolio valuation and risk. 



M. Hauskrecht, G. Pandurangan, E. Upfal. Computing near optimal strategies for stochastic investment planning problems. Proceedings of the 16-th International Joint Conference on Artificial Intelligence, pp. 1310-1315, 1999. (postscript version)

M. Hauskrecht, L. Ortiz, I. Tsochantaridis, E. Upfal. Computing global strategies for multi-market commodity trading. In Proceedings of the Fifth International Conference on Artificial Intelligence Planning and Scheduling, pp. 159--166, 2000.

This work is supported by a research grant from Goldman Sachs

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last modified on 6/15/99 by Milos Hauskrecht