Raquel Fonseca

Imperial College
rfonseca [AT] doc.ic.ac.uk
Research Interests / Background: 

Raquel was born in Porto, Portugal, where she graduated in Economics from the University of Porto – Faculty of Economics. Prior to her MSc in Operational Research from The London School of Economics, she worked for PricewaterhouseCoopers for 2 years, in the field of transactions services and financial advisory. She is currently an Early-Stage Researcher in COMISEF and a Ph.D.-candidate at Imperial College in London. Her research is in the field of robust optimization applied to finance, in particular portfolio optimization problems with multiple currencies.

Working Papers: 
  • 'Robust International Portfolio Management' (with W. Wiesemann and B. Rustem), COMISEF Working Paper 29, http://comisef.eu/?q=working_papers
  • 'Robust Optimization of Currency Portfolios' (with S. Zymler, W. Wiesemann and B. Rustem), COMISEF Working Paper 12, http://comisef.eu/?q=working_papers
  • 'Dynamic Mean-Variance Portfolio Analysis Under Model Risk' (D. Kuhn, P. Parpas, B. Rustem and R. Fonseca), The Journal of Computational Finance 12(4), 91-115 (2009)