ORIE 5370

Last Updated

  • Schedule of Classes - April 4, 2023 12:09PM EDT
  • Course Catalog - April 3, 2023 12:59PM EDT

ORIE 5370
Optimization Modeling in Finance

Course information provided by the Courses of Study 2022-2023.

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.

When Offered Spring.

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

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  •  9392 ORIE 5370   LEC 001

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  • Instruction Mode: In Person
    Enrollment restricted to ORIE MEng students. Other graduate students, Early Admit MEng students and OR&E Honors Program students may enroll with instructor approval during Add/Drop.