ORIE 5370 - Optimization Modeling in Finance

Spring. 3 credits. Student option grading.

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

J. Renegar.

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.