Autor: davimv
Hydrothermal system operation planning
It concerns the analysis and optimization of hydro-thermal system operation planning and its resulting policies.
Quantitative methods for finance
Portfolio optimization models, Asset Liability Management (ALM) models, computational finance, risk analysis and associated aspects of optimization under uncertainty (robust and stochastic optimization) and risk measure.
Modelo Interno (seguros e previdência): otimização simultânea do capital baseado em risco e da carteira de ativos
Tópicos de pesquisa: Modelo interno, capital mínimo requerido, Solvência II, otimização robusta
Optimization under uncertainty applied to asset and liability management
Research topics: Asset Liability Management (ALM) models, computational finance, risk analysis, and theoretical aspects of optimization under uncertainty such as stochastic dynamic programming models and robust optimization models.
Corporate Asset and Liability Management
Research topics: Asset and liability management, multistage stochastic programming, risk management, time series simulation models.
Asset Liability Management model for Angola public pension institute
The ALM system developed in this project envisions finding the optimal investment portfolio for the public pension fund of Angola while keeping a low insolvency risk.