CO372
Fall 2021
Computational optimization methodologies underlying portfolio problems
in finance. Computational linear algebra, determining derivatives,
quadratic and nonlinear optimization. The efficient frontier problem.
Applications of optimization in finance such as volatility surface
determination and global minimization for Value-at-Risk.
Portfolio Optimization Models
Instructor:
Henry Wolkowicz
(MC6312; 519-888-4567 x45589)
- Events/News
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syllabus for W18 (syllabus for W21 to be on LEARN)
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Judgment in Seattle: A Theorem Goes on Trial: "Comparative Advantage"
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Student Academic Discipline Policy:
Copying assignments is contrary to University policy. You must work on
your assignments on your own.
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INCs are granted only with serious justification.
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An algorithm that minimizes anything/everything
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You Can Do Anything With a Math Degree
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Time: online, MW, 2:30-4:00PM
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Location: online
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Office Hour:
time TBA,
.
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TAs:
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FINAL EXAM: Take-home, written final exam, within an 8 hour time
slot in a 48 hour period starting 12:30PM Thursday, Dec. 9, 2021.
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Marking Scheme:
HW, 7 assigns (lowest dropped) 50%; Final (takehome/written)
50%
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see
Waterloo LEARN for Assignments (solutions outlined in class),
Lecture Notes, etc...
Instructor: Henry Wolkowicz (MC6312; 519-888-4567 x45589)
- Events/News
- syllabus for W18 (syllabus for W21 to be on LEARN)
- Judgment in Seattle: A Theorem Goes on Trial: "Comparative Advantage"
- Student Academic Discipline Policy: Copying assignments is contrary to University policy. You must work on your assignments on your own.
- INCs are granted only with serious justification.
- An algorithm that minimizes anything/everything
- You Can Do Anything With a Math Degree
- ???????????????????
- ???????????????????
Additional reference: Optimization Methods in Finance (pdf), Cornuejols and Tutuncu. (You may retrieve this item directly at UofW library by visiting this link
Last Modified: Thursday 28 October 2021
