The goal of this project is to implement the three methods in an “Unequal Histories” package that: (1) facilitates use of the methods in portfolio optimization and risk analysis applications, and (2) supports the comparative study of the efficacy of the three different methods - Multiple Imputation, Factor Model Monte Carlo and Combined Backfilling.

Student

Pushpak Sarkar

Mentors

  • Kjell Konis
  • Yindeng Jiang
  • Peter Carl
  • Doug Martin
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2017