- Schedule of Classes - June 2, 2019 7:14PM EDT
- Course Catalog - June 2, 2019 7:15PM EDT
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.
Regular Academic Session.
Credits and Grading Basis
3 Credits Graded(Letter grades only)
Class Number & Section Details
- MWFThurston Hall 203
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