Education:


  • Ph.D., Department of Mathematics, Indian Institute of Technology Delhi, 2016.
  • M.Phil., Department of Operational research, Delhi University, 2011.
  • M.Sc., Department of Operational research, Delhi University, 2009.
  • B.Sc. in Mathematics, Lakshmibai college, Delhi University, 2007.
  • Research Interests:

    I primarily work in portfolio optimization which includes construction of optimal portfolio by appropriately building the optimization models based on specific objective and risk tolerance and subsequently testing the performance of the portfolio by quantitative and statistical tools on real market data. Portfolio optimization is a well known problem in finance where the decisions are made under uncertainty in which discarding may leads to an inferior or a wrong decision. During my Ph.D., I encountered with several intriguing topics of investment science to construct the portfolio using mean-risk modeling, stochastic dominance, robust optimization, multi-objecive programming, and fundamental/technical analysis. Beside optimization techniques, I am also exploring myself in using the tools from machine learning for integrating the investor behaviour in the process of portfolio construction.

    Teaching:

    Optimization techniques
    Probability and stochastic process
    Probablity and statistics
    Financial Mathematics

    Publications:

    1. Sharma A. and Mehra A. (2013). Portfolio selection with a minimax measure in safety constraint, Optimization, 62(11), 1473-1500.
    2. Sharma A. and Mehra A. (2014). How smart is the strategy of investing in 52-week high hitting stocks with past positive net profit in Indian market? International Journal of Behavioural Accounting and Finance, 4(4), 325-337.
    3. Sharma A. and Mehra A. (2015). Extended omega ratio optimization for risk-averse investors, International Transactions in Operational Research, 24(3), 485-506.
    4. Sharma, A. and Mehra, A. (2016). Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Annals of Operational Research, 1-27.
    5. Sharma, A., Agrawal, S., and Mehra, A. (2016). Enhanced indexing for risk averse investors using relaxed second order stochastic dominance, Optimization and Engineering, 1-36.
    6. Sharma, A., Utz, S., and Mehra, A. (2017). Omega-CVaR portfolio optimization and its worst case analysis, OR Spectrum, 39(2), 505-539.

    Dr. Amita Sharma

    Assistant Professor Department of Science and Mathematics


    Email:

    amita@iiitg.ac.in
    amitaashrma.iitd@gmail.com

    Contact:


    +91-9990690357