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,
M. Hauskrecht, L. Ortiz, I. Tsochantaridis, E. Upfal.
strategies for multi-market commodity trading. In Proceedings of
the Fifth International Conference on Artificial Intelligence Planning and
Scheduling, pp. 159--166, 2000.
work is supported by a research grant from Goldman
last modified on 6/15/99 by Milos Hauskrecht