ORIE 5370

ORIE 5370

Course information provided by the Courses of Study 2021-2022.

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

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 10208 ORIE 5370   LEC 001

    • TR Bard Hall 140
    • Jan 24 - May 10, 2022
    • Renegar, J

  • Instruction Mode: In Person
    Enrollment is limited to ORIE MEng students and students who have permission from the instructor. Other students will be removed.