ORIE 5370

ORIE 5370

Course information provided by the Courses of Study 2018-2019.

Explores optimization in the context of finance, including methodologies beyond linear programming, such as second-order cone programming and semidefinite programming.  Topics include Markowitz portfolio theory and modeling; factor models for portfolio selection and risk control; the Black-Litterman model (and related Bayesian topics); utility functions; coherent risk measures; stochastic programming; and optimal execution of portfolio transactions.  Emphasis is on concepts that are directly implementable.  Homework and projects require considerable coding in MATLAB.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: ORIE 3300/ORIE 5300 and basic knowledge of statistics, probability and finance.

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Enrollment Information
Syllabi: none
  •   Regular Academic Session. 

  • 3 Credits Graded

  • 11532ORIE 5370  LEC 001