Courses of Study 2014-2015 
    
    Mar 29, 2024  
Courses of Study 2014-2015 [ARCHIVED CATALOG]

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ORIE 5370 - Optimization Modeling in Finance


     
Spring. 3 credits.

Prerequisite: ORIE 3300 /ORIE 5300  and basic knowledge of statistics, probability and finance.

Staff.

Explores optimization in the context of finance, including methodologies beyond linear programming, such as second-order cone programming and semidefinite programming.  Topics include Markowitz portfolio theory and modeling; factor models for portfolio selection and risk control; the Black-Litterman model (and related Bayesian topics); utility functions; coherent risk measures; stochastic programming; and optimal execution of portfolio transactions.  Emphasis is on concepts that are directly implementable.  Homework and projects require considerable coding in MATLAB.



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