Decision Making under Uncertainty and Asset Allocation

Having to act in a context of uncertainty, or “take risks” is not something shocking and is at the centre of much of human endeavour. Sometimes risks are hard to quantify and certainly there are no quick fixes in deciding what to do; some are completely unanticipated. In other areas, including parts of finance, the underlying understanding of the context and the large aggregate experience of many players means much can be quantified. Understanding how to make decisions – even when you have full information about risks can be quite challenging. A bank needs to understand counterparty risk over a huge range of different potential scenarios if it is to understand its own risks and satisfy regulators. This raises massive computational tasks even if all the data is there. A pension fund needs to allocate resource to a number of different asset classes with very different return and investment profiles and match these to its own liabilities. 

The range is huge. In fact every topic above is implicated! So we do not identify the members with a connection to this topic. If you have an interest get in touch – it is a core interest in many different ways.

 
  • Profile Pic: 
    Doyne Farmer
    Professor of Mathematics Co-Director, Complexity Economics, The Institute for New Economic Thinking at the Oxford-Martin School
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    Siddartha Ghoshal
    DPhil Student, Engineering, Machine Learning Research Group
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    Timothy Hoggard
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    Dunhong Jin
    DPhil Student in Financal Economics
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    Robert Kosowski
    Associate Professor of Finance, Imperial College London
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    Lawrence Middleton
    DPhil Student, Statistics
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    Favour Nyikosa
    DPhil Student, Engineering, Machine Learning Research Group
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    Harald Oberhauser
    Associate Professor at the Mathematical Institute
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    Jan Obłój
    Professor of Mathematics at the Mathematical Institute & Tutorial Fellow at St John's College
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    Matthias Qian
    DPhil Student in Economics
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    Jerry Tsai
    University Lecturer in Economics
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    Mihaela van der Schaar
    Man Professorship of Quantitative Finance
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    Pengyu Wei
    DPhil Student, Mathematical and Computational Finance Group
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    Peter Zimmerman
    DPhil Student, Financial Economics