The event is meant to bring together a group of researchers actively working in the area of portfolio theory (pure and applied aspects are of interest) and derivative pricing.
The overall goal is to achieve a synergy from diverse specific expertise represented by participants to produce methodologies with a potential to go beyond the classic portfolio theory, both in the theoretical and computational aspects.
It is expected that the specific topics listed below (the list is not exclusive) will be framed within large-scale portfolio investments context.
Understanding and capturing market behavior
Accounting for multiple perspectives of portfolio investments
Dynamic portfolio investments
Solving large-scale portfolio investments problems by modern methods and modern technologies
The conference is organized within Simons Semester "Stochastic Modeling and Control" in cooperation between Institute of Mathematics PAS and Systems Research Institute PAS.