INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
21/07/2017 - 12:25

IAM550 - Portfolio Optimization

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

Mean-Variance (Markowitz) analysis; continuous-time market model in finance; options and exotic options, pricing (valuation) of options; self-financing, optimal strategies, optimal portfolios (problems); martingale method; stochastic control and portfolio optimization.

Course Objectives

The objective of the course is to introduce central elements of the theory, methods (algorithms) and applications on how optimization theory is used to decide on optimal portfolios.

Course Learning Outcomes

At the end of this course, students should be able to approximately model, analyze and tackle optimization problems of the financial sector related with portfolios. This includes a macro-economical understanding, a representation of individual interests, and a familiarity with modern mathematical methods. Both lectures and exercises serve for this aim of learning, deepening, applying and preparing.

Tentative (Weekly) Outline

Mean-Variance (Markowitz) analysis; continuous-time market model in finance; options and exotic options, pricing (valuation) of options; self-financing, optimal strategies, optimal portfolios (problems); martingale method; stochastic control and portfolio optimization.

More Info on METU Catalogue

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