Discipline: 
Mathematics
Status: 
Available
Level: 
PhD Project
Level: 
Masters Project
Supervisor(s): 
Dr. Duy-Minh Dang

In Australia, portfolio optimization is also particularly important from the perspective of individual investors with super fund investments. According to the Willis Towers Watsons Global Pension Assets Study 2017, about 87% of the pension plan assets under management in Australia are of the Defined Contribution (DC) type. This means that most employees are also long-term investors who have to make an asset allocation decision, which is the most important aspect of both the accumulation phases and de-cumulation phases of the investment cycle. The projects aim to develop efficient numrical methods for portfolio optimisation in finance. We particularly focus on the Partial Differential Equation (PDE) and hybrid Monte Carlo PDE approachs for mean-risk portfolio optimisation.