ORIE 5370
Last Updated
- Schedule of Classes - June 7, 2023 8:54PM EDT
- Course Catalog - June 7, 2023 7:14PM EDT
Classes
ORIE 5370
Course Description
Course information provided by the Courses of Study 2022-2023.
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 and basic knowledge of statistics, probability and finance.
Regular Academic Session.
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Credits and Grading Basis
3 Credits Stdnt Opt(Letter or S/U grades)
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Class Number & Section Details
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Meeting Pattern
- TR Hollister Hall 110
- Jan 23 - May 9, 2023
Instructors
Renegar, J
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Additional Information
Instruction Mode: In Person
Enrollment restricted to ORIE MEng students. Other graduate students, Early Admit MEng students and OR&E Honors Program students may enroll with instructor approval during Add/Drop.
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