ORIE 5370

Last Updated

  • Schedule of Classes - December 25, 2024 7:31PM EST
  • Course Catalog - December 25, 2024 7:07PM EST

ORIE 5370
Optimization Modeling in Finance

Course information provided by the Courses of Study 2024-2025.

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.

When Offered Spring.

Comments Prerequisite: Solid understanding of basic probability and statistics.

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Syllabi:

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  •  7121 ORIE 5370   LEC 001

  •  
    • MW
    • Jan 21 - May 6, 2025

    • Renegar, J

  • Instruction Mode: In Person
    Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (M.Eng.) students; others by permission of instructor.