Syllabus/Course Description for:

Portfolio Optimization Models, CO 372
Winter 2018,       Instructor: Professor Henry Wolkowicz, MC 6312



Lectures start Thursday Jan. 4 and end Tues Apr. 3, 2018.
Midterm EXAM: Thurs. FEb. 15, 2018; in class in MC4059
Final EXAM: TBA

COURSE OUTLINE

  1. Applicable numerical linear algebra
  2. Computing Derivatives
  3. Unconstrained minimization and nonlinear systems
  4. Optimization with linear constraints
  5. The efficient frontier
  6. The portfolio factor method


(C) Copyright Henry Wolkowicz, 2018.
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