The final exam will be Monday, April 14, 9:00-11:30, in MC4061 (our regular classroom)

I will have pre exam office hours Wednesday, April 9, 2:30-4:20.

I have changed the due date for Asst 3 to Friday, March 28 so that can cover a sufficient amount of material in class.

During last Friday's lecture, some people suggested that one might just use a good interior point method rather than the active set methods we have been learning. The answer is that a well formulated active set method for a portfolio optimization problem which takes advantage of the problem structure can solve a problem many times faster than an interior point method.

1. Best_Hlouskova_MgtSci Best/Hlouskova "An Algorithm for Portfolio Optimization With Transaction Costs, Management Science, Vol 51, No 11, November 2005. See particularly the section on page 1685 entitled Computation Results.

2. Best_Hlouskova_JOTA_Part1 Best/Hlouskova Part 1, Journal of Optimization Theory and Applications,(2007) "An Algorithm for Portfolio Optimization With Variable Transaction Costs Part 1; Theory", 563-581.

3. Best_Hlouskova_JOTA_Part2 Best/Hlouskova Part 2, Journal of Optimization Theory and Applications,(2007) "An Algorithm for Portfolio Optimization With Variable Transaction Costs Part 2; Computational Analysis", 531-547. You might find this interesting because first, it gives a comutational comparison with Mosek an interior point method which in my experience is much faster than CPLEX. Secondly, it gives an analytic comparison of an interior point method with our active set metod.

Woops! Kelvin just pointed out that Friday, March 21 is Good Friday, so the Asst 3 due date will be Monday, March 24. Thanks Kelvin!

NOTE!! I am changing the due date for Assignment 3 to Friday, March 21 because we have proceeded more slowly in class than I anticipated.

Some people I spoke to yesterday (Wed) in my office hours were concerned that many questions required long technical solutions, particulary ones of the form "Suppose a risk free asset is added to the problem...". You should be thinking of a short, clever answer to this of the form "The first part of the efficient frontier is this and for t >= (give it), things are exactly as they are in the notes". You should have the feeling all of a sudden, the answer is pretty easy. I don't like asking questions which have long comlicated technical answers :)

Omit question 3.14 from Assignment 3.

The marked Assignment 2's are now in the wooden box outside my door (MC 5042).

The final exam will be Monday, April 14, 2008, 9-11:30 am. I will let you know the room when I find out myself

In Exerccise 3.10, the problem constraint should read l'x + x_{n+1} = 1, ie, 1 not zero.

Gong Hei Fat Choy!!

The midterm will be Monday, March 3. Please note: The midterm will be written in MC 4061.

The enrollment cap of 22 for ActSc 973 has been increased to 35.

Some people have been asking how to register for this course to get Audit status. I checked and you do it by filling out a "Drop and Add" form which you can print off from Drop and Add

Course description: outline_co778w08.pdf

Portfolio Optimization Course Notes are available MC 2018.

The Course Notes are approximately 150 typeset pages. You can see the first 28 pages here portsample.pdf