I will have pre exam office hours Wednesda, April 7, 2:00-4:00. Your last assignments will be ready for pick up in my office at that time.

Vris willl have end of term office hours Tuesday, April 6, 5:30-6:30 and Wednesday, April 7, 5:30-6:30.

I had previously set the due date for the last assignment to be Friday, April 2. I didn't realize that was a holiday, so I have changed the due date to Monday, April 5. Thanks for pointing this out Voicu.

FINAL EXAM: Friday, April 9, 9-11:30, MC 2038

Assignment 3 Solutions are now posted.

Assignment 2 Solutions are now posted.

Mfiles.zip now contains the correct files. Thanks Dora and Durgesh.

Typo: Page 168, 2nd to last line.. Theorem 1.2 should be Theorem 5.2. Thanks Sabrina and Weibei.

I have changed the due date for Asst 3 from Friday, March 12 to Monday, March 15.

"The" book will be out on March 9. Barnes & Nobel

Do NOT do Exercise 7.1

FINAL EXAM: Friday, April 9, 2010. 9:00 - 11:30, place tba

Vris will change her office hour to 4:00-5:30, Thursday March 4 (one time only)

In exercises like 2.7, when you are asked to use one of the existing programmes like EFMVcoeff.m, it usually means modify the routine that calls EFMVcoeff.m but if necessary, feel free to modify EFMVcoeff.m itself if it is a useful thing to do (like adding print statements). In general, routines like EFMVcoeff, QPSolver and PQPSolver are meant to be helpful and generally make your work go faster because you don't have to do boring arithmetic. In general, take advantage of any of the routines I've made available to you.

In Exercise 9.3, "problems (2.2) and (2.3)" should be replaced by "problems (2.1) and (2.3)",

Do NOT do Exercise 5.11. It was already done as Theorem 1.5 in the text.

Do NOT do Exercise 2.12 (it is a repeat of 2.4).

Having marked Assignment 1, Vris offered the following helpful comments. They are here is here. template_AssignFeedback.pdf I would also add to her point 4: the basic mathematical tool used in this course is linear algebra. Not using it correctly will result in a great deal of frustration!

Vris most kindly wrote up a solution to 2.4(b). It is here. Q2p4b.pdf Thanks Vris!

EVERYONE will write the midterm in RCH110.

We are fortunate to have Vris Cheung as our TA. Her first name is prnounced Vee ris. She is quite experienced in Portfolio Optimization having TA'd for the undergraduate version of this course a year ago. Her info is above.

Midterm coverage is Chapters 1, 2, and 3. Assignment 1 solutions are posted, as above.

The midterm date is Monday, February 8. Rooms are as above. .

I will leave Assignment 1 unchanged from what it originally was; i.e., the correct assignment remains as below.

Add the following to Question 1.13: A degenerate extreme point is an extreme point for which the gradients of those constraints active at it are linearly dependent.

Two typos: (1) Exercise 1.11(b): Figure 1.3 should be Figure 1.4. (2) Exercise 1.14: Example 1.2 should be Example 1.3.

Just to summarize the sign up procedure for our two courses, I will be quite happy to sign an over ride form for anything that is reasonable.

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.pdf

Portfolio Optimization Course Notes for C\&O 778/ ActSc 973 are available in Campus Copy, 2nd floor, MC.

The Course Notes are approximately 238 typeset pages. They are to be published as "Portfolio Optimization", Michael J. Best, by Taylor and Francis in late March, 2010.

The Mfiles for the Matlab programmes used in the course notes are here: MFiles.zip