Динамическая оптимизация для целей исследования в экономике и менеджменте

Аспирантура 2020/2021

Статус: Курс по выбору

Направление: 38.06.01. Экономика

Кто читает: Департамент менеджмента

Когда читается: 1-й курс, 1 семестр

Формат изучения: без онлайн-курса

Преподаватели: Слоев Игорь Анатольевич

Язык: английский

Кредиты: 3

Контактные часы: 28

Full Syllabus

Abstract

This course covers topics in dynamic optimization methods which might be relevant for applied business research: investment decisions, pricing etc. It discovers and explores cases both in discrete and in continuous time. The methodological approaches address methods in dynamic programming and optimal solutions across infinite/finite time horizons. The course illustrates how dynamic optimization is useful for business strategies development on a rigorous analytical base.

Learning Objectives

to differentiate dynamic optimisation methods
to distinguish situations where dynamic optimisation methods can be used
to apply dynamic optimization techniques for different business problems
to construct Bellman equation and find close-form solution if possible
to estimate Bellman equation

Expected Learning Outcomes

Be able to design new courses within the professional field which could be also based on finished research theoretical and empirical projects
Be able to conduct research activity in an educational institutions and management of students' research activity

Course Contents

1. Types of dynamic optimization problems.
Discrete/continuous time, finite/infinite horizon of planning, finite/infinite number of states, stochastic/deterministic problems.
2. Principle of optimality and Bellman equation
Solutions for different types of problems.
3. Applications of dynamic optimization in Management.

Assessment Elements

In class Presentation
Midterm exam assessment
Written assignment on analysis of an academic paper

Interim Assessment

Interim assessment (1 semester)
0.4 * In class Presentation + 0.3 * Midterm exam assessment + 0.3 * Written assignment on analysis of an academic paper

Bibliography

Recommended Core Bibliography

Adda, J., & Cooper, R. W. (2003). Dynamic Economics : Quantitative Methods and Applications. Cambridge, Mass: The MIT Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=100029

Recommended Additional Bibliography

Chow, G. C. (1997). Dynamic Economics : Optimization by the Lagrange Method. New York: Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=176360
Chow, G. C. (1997). Dynamic Economics: Optimization by the Lagrange Method. Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.oxp.obooks.9780195101928

Course Syllabus