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

Entry Requirements (not applicable to Visiting Students)
Pre-requisites		Co-requisites
Prohibited Combinations	Students MUST NOT also be taking Deterministic Optimization Methods in Finance (MATH11092)	Other requirements	None

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.