Postgraduate Course: Optimization Methods in Finance (MATH11110)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 15 |
ECTS Credits | 7.5 |
| Summary | 1. Linear Optimization: asset pricing and arbitrage, risk-neutral probability measure,
2. Quadratic Optimization: mean-variance portfolio selection (Markowitz model),
3. Conic Optimization: capital allocation line and Sharpe ratio,
4. Stochastic Optimization: Asset/liability management and scenario generation,
5. Convex Optimization: Value-at-Risk, Conditional Value-at-Risk,
6. Robust Optimization: Robust portfolio selection |
| Course description |
Not entered
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Course Delivery Information
| Not being delivered |
Learning Outcomes
| Ability to formulate and solve practical problems arising in finance using modern optimization methods and software (CVX,MATLAB). Familiarity with deterministic and stochastic formulations, their purpose, strengths and weaknesses.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Keywords | OMF |
Contacts
| Course organiser | Dr Peter Richtarik
Tel: (0131 6)50 5049
Email: peter.richtarik@ed.ac.uk |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: f.c.reid@ed.ac.uk |
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