Syllabus/Course Description for:

Overview: This course is primarily concerned with the computational optimization methodologies underlying portfolio problems in finance. Much of the course will be concerned with understanding and appreciating the tools themselves. The tools include the basic methods of computational linear algebra, methods for determining derivatives, and continuous optimization methodology (quadratic and some nonlinear). We will study the efficient frontier problem in detail i.e., how to balance risk and reward in the world of normal returns.

Prerequisites: (AFM 272/ACTSC 291 or ACTSC 371 or BUS 393W or ECON 371) and (CO 250/350 or CO 227 with a grade of least 70% or CO 352/CM 340 or CO 355)

Text: Course notes will be provided.
(Additional Reference: Portfolio
Optimization, Michael J. Best,
CRC Press, Mar. 9, 2010.)

Software and Computing Assignments: There will be some computing assignments in this course, in MATLAB.

Problem sets: There will be 4 problem sets/homework assignments throughout the term. Selected questions will be graded.

Midterms: There will one midterm exam, on Thursday, Feb. 15, in class time. There will be a final, to be scheduled.

Mark Distribution: homework problem sets (25%), Midterm (25%), Final (50%)

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

Applicable numerical linear algebra

Computing Derivatives

Unconstrained minimization and nonlinear systems

Optimization with linear constraints

The efficient frontier

The portfolio factor method
(C) Copyright Henry Wolkowicz, 2018.
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