Statistical Decision

Bank Management and Administration
4 ECTS; 2º Ano, 1º Semestre, 45,0 TP

Lecturer

Prerequisites
Not applicable.

Objectives
An introduction to statistical decision theory as a tool for planning. The student should be able to interpret a problem through a probabilistic model and simulate several possible scenarios in order to quantify errors and decision costs.

Program
I - Linear Models, II - Concepts of Time Series, III - Simulation, IV - Decision with uncertainty and risk.

Evaluation Methodology
Final Exam

Bibliography
- Glasserman, P. (2003). Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability). Springer: Springer
- Murteira, B. (1996). Decisão Estatística para Gestores. Lisboa: UAL
- Holloway, C. (1979). Decision Making Under Uncertainty: Models and Choices. Prentice - Hall: Prentice - Hall
- Pedrosa, A. e Gama, S. (2007). Introdução Computacional à Probabilidade e Estatística. Lisboa: Porto Editora

Method of interaction
Lectures

Software used in class
Excel, SPSS