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 Under construction ????????????????????????/ ( Course Information/Syllabus)
Instructor: Henry Wolkowicz (MC6312;;519-888-4567x35589)

  • Time:????????????
  • Location: ????
  • Office Hour: ???????????????????? MC6486.
  • TAs:
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  • Midterm: ?????????????? closed book; no calculators.
  • FINAL EXAM: ????????????????????? closed book; no calculators; You may bring one 8.5-by-11 sheet of paper with handwritten notes.
  • Marking Scheme: HW (5-7 assigns) 25%; Midterm 25%; Final 50%
  • see Waterloo LEARN for Assignments (solutions outlined in class), Partial Lecture Notes, etc...

  • Text - Class notes (and reference: Portfolio Optimization, Michael J. Best (on reseerve))

  • Last Modified:  Monday 25 January 2021