MIE377H1: Financial Optimization Models

0.50
38.4L/12.8T/12.8P

This course deals with the formulation of optimization models for the design and selection of an optimal investment portfolio. Topics include Risk Management, Mean Variance Analysis, Models for Fixed Income, Scenario Optimization, Dynamic Portfolio Optimization with Stochastic Programming, Index Funds, Designing Financial Products, and Scenario Generation. These concepts are also applied to International Asset Allocation, Corporate Bond Portfolios and Insurance Policies with Guarantees.

47.2 (Fall), 51.2 (Winter), 98.4 (Full Year)