ORIE 5370

Last Updated

  • Schedule of Classes - September 9, 2021 7:14PM EDT
  • Course Catalog - September 9, 2021 7:15PM EDT

ORIE 5370
Optimization Modeling in Finance

Course information provided by the Courses of Study 2020-2021.

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.

View Enrollment Information

Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 10925 ORIE 5370   LEC 001

  •  

  • Instruction Mode: In Person
    Enrollment is limited to ORIE MEng students and students who have permission from the instructor. Other students will be removed.
    Enrollment limited to students who are able to attend in-person classes in the Ithaca area.

Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 19788 ORIE 5370   LEC 002

    • MW Online Meeting
    • Feb 8 - May 14, 2021

    • Renegar, J

  • Instruction Mode: Online
    Intended for students unable to attend in-person classes in Ithaca.
    Enrollment is limited to ORIE MEng students and students who have permission from the instructor. Other students will be removed.
    For instructions on requesting permission, send brief email to Heidi Russell (hjr27).

    Department Consent Required (Add)