CO372
Winter 2024
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
-
syllabus for W18 (syllabus for W24 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
Instructor: Henry Wolkowicz (MC6312; 519-888-4567 x45589)
- Events/News
- syllabus for W18 (syllabus for W24 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
Midterm (in class written) 35%
Final (during exam period) 40%
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: Wednesday 13 March 2024
