C&O 372 Portfolio Optimization Models
C&O 372

Portfolio Optimization Models

Professor Emeritus Michael J. Best, Office Hours: Wednesdays, 1:00-3:00, MC 5042,

mjbest@math.uwaterloo.ca

Teaching Assistants:

Vris Cheung, Office Hour: Thursdays, 2:30-3:30, MC 6092B,
yl2cheun (at) uwaterloo (dot) ca

Mehdi Karimi, Office Hour: 2:30-3:30, Fridays, MC 4018A,

mahdikarimi (at) yahoo (dot) com

Zhihan Gao, MC 6093B,

z9gao (at) uwaterloo (dot) ca

Hadi Minooei, MC 6155,

hminooei (at) uwaterloo (dot) ca

Cookie Monitor: Andrew (Andriy) Farenyuk

Text: Portfolio Optimization, Michael J. Best, CRC Press, Taylor & Francis Group, 2010, ISBN-13: 9781420085846

Midterm: Wednesday, February 15, 11:30-12:20, in class. Room Assignments: tba

Class Schedule: MWF, 11:30-12:20, MC 4059

Assignments
Assignment Questions Due Date Solutions
1
1.2, 1.4, 1.5, 1.7, 1.8, 1.9, 1.10
Monday, January 16, 2012
 Asst1SolnsW12.pdf
2
2.1, 2.2, 2.3, 2.5(b), 2.6, 2.9, 2.10, 2.12, 3.1(a), 3.2
Monday, January 30, 2012
 Asst2SolnsW12.pdf
3
3.3 3.4, 3.5, 3.6, 4.1(a), 4.2, 4.3, 4.4
Monday, February 13, 2012
 Asst3SolnsW12.pdf
4
4.5, 4.6, 4.7, 4.8, 5.1, 5.3, 5.5, 5.6, 5.7, 5.8
Monday, March 12, 2012
 Asst4SolnsW12.pdf
5
5.10, 6.1, 6.2, 6.4, 6.5(b)
Monday, March 26, 2012
 Asst5SolnsW12.pdf

Notes:

  1. Pre-exam office hours: Tuesday, April 10, 2pm-4pm, MC 5042.

  2. The midterm solutions are here: midtermW12solns.pdf

  3. MIDTERM ROOM ASSIGNMENTS: A-Palmer: MC 4059; Pan, J. -Z: RCH 112.

  4. I will endeavour to make the assignments due on Monday.

  5. You can get a copy of the course outline here: CourseOutline.pdf

  6. All unclaimed assignments will be placed in the wooden box outside my office door (MC 5042), where they can be picked up at your convenience.

    Copyright © April 15, 1997
    Most recent revision: February, 2012

    mjbest@math.uwaterloo.ca
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