CO372
Winter 2018
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
(
Course Information/Syllabus)
Instructor:
Henry Wolkowicz
(MC6312;;519-888-4567x35589)
- Events/News
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syllabus for W17
-
marking for W17
-
Judgment in Seattle: A Theorem Goes on Trial: "Comparative Advantage"
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Student Academic Discipline Policy:
Copying assignments is contrary to University policy. You must work on
your assignments on your own. (Late assign. are not accepted.)
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INCs are granted only with serious justification.
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Nonlinear Programming, (MITOPENCOURSEWARE)
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An algorithm that minimizes anything/everything
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You Can Do Anything With a Math Degree
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Time:T-R 11:30--1:00PM
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Location: MC4069
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Office Hour:
Henry Wolkowicz: TBA
.
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TA: Nargiz Kalantarova, Sina Rezazadeh Baghal, Darius Lasecki
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Midterm: TBA,
closed book; no calculators.
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FINAL EXAM: TBA;
closed book; no calculators
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Marking Scheme:
HW (6-7 assigns) 30%; Midterm 30%; Final 40%
-
see
Waterloo LEARN for Assignments/Solutions,
Partial Lecture Notes, etc...
Instructor: Henry Wolkowicz (MC6312;;519-888-4567x35589)
- Events/News
- syllabus for W17
- marking for W17
- 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. (Late assign. are not accepted.)
- INCs are granted only with serious justification.
- Nonlinear Programming, (MITOPENCOURSEWARE)
- An algorithm that minimizes anything/everything
- You Can Do Anything With a Math Degree
-
additional references:
Prerequisites:
-
Prereq: (AFM 272/ACTSC 291 or ACTSC 371 or BUS 393W or ECON 371) and (CO
250/350 or CO 227 with a grade of at least 70% or CO 352 or CO 255/355);
Not open to General Mathematics students.
Antireq: CO 370 taken prior to Winter 2004
Last Modified: Wednesday 17 February 2021
