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
-
syllabus for W18
-
marking for W18
-
Fundamentals of
Lin. Alg. and Opt., ebook
-
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.
-
INCs are granted only with serious justification.
-
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; from Thurs. Jan. 4 to
Tues. Apr. 3.
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Location: MC4059
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Office Hour:
Henry Wolkowicz: for answering questions; Thursday, Apr. 19, 3:00-4:30PM, in
.
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TAs:
-
Nargiz Kalantarova, Office Hour: Friday, Apr. 20, 9:30-10:30AM, in MC5119
- Sina Rezazadeh Baghal, Office Hour: Monday Apr. 23 1:00-2:00PM, in MC5492
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Midterm: In class, Thurs. Feb. 15, 2018.
closed book; no calculators.
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FINAL EXAM: Tuesday, April 24, 2018, 9:00-11:30AM, location PAC 8;
closed book; no calculators; You may bring one 8.5-by-11 sheet of paper
with handwritten notes.
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Marking Scheme:
HW (5-7 assigns) 25%; Midterm 25%; Final 50%
-
see
Waterloo LEARN for Assignments (solutions outlined in class),
Partial Lecture Notes, etc...
Instructor: Henry Wolkowicz (MC6312;;519-888-4567x35589)
- Events/News
- syllabus for W18
- marking for W18
- Fundamentals of Lin. Alg. and Opt., ebook
- 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.
- INCs are granted only with serious justification.
- An algorithm that minimizes anything/everything
- You Can Do Anything With a Math Degree
- Nargiz Kalantarova, Office Hour: Friday, Apr. 20, 9:30-10:30AM, in MC5119
- Sina Rezazadeh Baghal, Office Hour: Monday Apr. 23 1:00-2:00PM, in MC5492
Last Modified: Friday 14 September 2018
