Master semester project: 2008-2009

Is Diversification Always the Best Way to Minimize Risk?

Consider the problem of investing in a collection of independent random agents, such as investments in a portfolio or power allocations in a MIMO channels; in order to minimize the probability that the portfolio's return goes underneath a fixed threshold, or that the MIMO communication link goes in outage under a given rate, is it always best to diversify the money or power over all agents?

Understand the probabilistic model and existing results; then complete or extend some of the results.

Interest in solving mathematical (probability) problems. Matlab could be helpful for numerical checks.

Emmanuel Abbe, tel: 35657, office: INR 030,

Prof. Bixio Rimoldi

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