ORIE 5370

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  • Schedule of Classes - January 5, 2026 3:59PM EST

ORIE 5370
Optimization Modeling in Finance

Course information provided by the 2025-2026 Catalog.

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.


Last 1 Terms Offered 2025SP

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 13603 ORIE 5370   LEC 001

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  • Instruction Mode: In Person

    Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students. Other graduate students may enroll during Add/Drop if space permits.