RESEARCH AGENDA
The research agenda of the centre covers:
- Models and solution methods for optimisation under uncertainty.
- Risk measures and optimum risk decisions.
- Time series, stochastic volatility and interest rate models.
- Modelling and solution algorithms of linear programming and discrete optimisation problems.
- Robust estimation, systems identification and semi definite programming.
- Stochastic models for asset and liability management.
- Behavioural aspects of risk.
- Statistical modelling.
- Quantile regression for risk analysis.
- Metaheuristics (and exact methods) in combinatorial and global optimization.
- Clustering, data mining and image processing.
- Supply chains, inventories, location and routing.
- Distribution management.
- Use of stochastic control in finance.