Research Theme 1 - Performance
Examining performance measures is one of the primary activities within the international financial services sector in Ireland and encapsulate a wide variety of important scientific research questions in financial mathematics and computation. Open problems in this area concern optimal asset allocation, risk management of the constructed portfolios, performance measurement and information theory.
In this research theme we investigate the impact of crashes and ambiguity, in addition to risk, in optimal investment decisions and the measurement of portfolio performance.
These topics share a common relevance for understanding the behaviour of investors and intermediaries in financial markets, and the common feature of involving complex mathematical questions. In addition, we concentrate on the development of novel methodologies for strategic asset allocation and the application of information theoretic methods to assist in model selection when modelling financial data.
This research theme consists of four complementary work packages, three led by Professor Paolo Guasoni (WPs 1-3) and work packages 4 led by Dr. David Edelman.