The two opposing investment strategies, diversification and concentration, have often been
directly compared. While there is much less dispute regarding Markowitz's approach as the …

In this dissertation, we present several applications of polynomial chaos in Monte Carlo
simulation. First, we investigate the use of polynomial chaos as a control variate method for …

This thesis consists of three self-contained essays evaluating topics in portfolio selection,
continuous-time analysis, and market incompleteness. The two opposing investment …