Master semester project: 2008-2009
Is Diversification Always the Best Way to Minimize Risk?
Description:
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?
Objective:
Understand the probabilistic model and existing results; then complete or extend some of the results.
Prerequisites:
Interest in solving mathematical (probability) problems.
Matlab could be helpful for numerical checks.
Supervisor:
Emmanuel Abbe, tel: 35657, office: INR 030, emmanuel.abbe@epfl.ch
Professor:
Prof. Bixio Rimoldi