Examining performance measures is one of the primary activities within the international financial services sector in Ireland and encapsulates a wide variety of important scientific research questions in financial mathematics and computation. Open problems in this area focus on optimal asset allocation, risk management of portfolios, performance measurement and information theory.

In this research theme we investigate risk and the impact of crashes and ambiguity in optimal investment decisions and the measurement of portfolio performance.

These topics share a common relevance for understanding the behaviour of investors and intermediaries in financial markets, and the common feature of involving complex mathematical questions. In addition, we concentrate on the development of novel methodologies for strategic asset allocation and the application of theoretical methods to assist selection techniques when modelling financial data.

This research theme consists of four complementary work packages, the initial three led by Professor Paolo Guasoni and a fourth led by Dr. David Edelman.