AEM 6030

Risk Management and Optimization

Course Description

Course information provided by the Courses of Study 2018-2019.

This course is a half-semester course course in mathematical programming designed to deepen an understanding of the role of risk in a portfolio choice framework. As a complement to AEM6050, Agricultural Finance and Development, this course should be of particular interest to students in, agricultural finance, agricultural economics, development economics, financial economics, or any other related discipline. The focus of the course is in the design and structure of mathematical programming models that include risk. Core to this is the understanding of primal and dual structures and the importance of Kuhn-Tucker conditions in the economic interpretation of mathematical programming solutions. Topics may include, but are not limited to 1. An introduction to linear programming and model structure 2. Portfolio choice and quadratic programming in investments and agriculture. 3. Direct Expected Utility Maximization 4. Semi-variance and non-convex models of risk.

When Offered Spring (weeks 8-14).

• Explain the use and application of mathematical programming techniques to problems of portfolio selection and risk optimization.
• Explain the mathematical and economic relationships of dual structures in nonlinear optimization models.
• Develop linear and nonlinear risk models to a variety of economic problems in finance and agriculture.

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