Syllabus

Title
4592 Y1P3 Optimization
Instructors
Univ.Prof. Dipl.Wirtsch.-Math.Dr. Birgit Rudloff
Contact details
  • Type
    PI
  • Weekly hours
    2
  • Language of instruction
    Englisch
Registration
02/06/19 to 02/24/19
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Dates
Day Date Time Room
Tuesday 03/05/19 08:30 AM - 10:30 AM TC.3.05
Wednesday 03/06/19 01:00 PM - 03:00 PM TC.2.02
Tuesday 03/12/19 08:30 AM - 10:30 AM TC.3.05
Thursday 03/14/19 02:30 PM - 04:30 PM TC.3.05
Tuesday 03/19/19 08:30 AM - 10:30 AM TC.3.05
Thursday 03/21/19 02:30 PM - 04:30 PM TC.3.05
Tuesday 03/26/19 08:30 AM - 10:30 AM TC.3.05
Thursday 03/28/19 02:30 PM - 04:30 PM TC.3.05
Tuesday 04/02/19 08:30 AM - 10:30 AM TC.3.05
Thursday 04/04/19 02:30 PM - 04:30 PM TC.3.05
Tuesday 04/09/19 09:00 AM - 11:00 AM D3.0.233
Monday 04/29/19 01:00 PM - 03:00 PM TC.3.05
Thursday 05/02/19 09:30 AM - 11:30 AM TC.2.01
Thursday 05/02/19 09:30 AM - 11:30 AM TC.2.02

Contents

In this lecture we give an introduction to important tools in optimization and convex analysis that are needed in various parts of quantitative  finance.

Part one of the lecture is devoted to unconstrained optimization problems. Part two is devoted to the solution of constrained optimization problems via Lagrange multiplier theory and methods based on calculus. The third part of the lecture deals with convex analysis and duality theory for convex optimization problems.

In order to illustrate the methods we will study several applications in economics and finance including Markowitz portfolio optimization, optimal production plans, portfolio optimization via expected utility maximization and cost-minimal superreplication.


Learning outcomes

After completing this course the student will have the ability to:

  • understand and interpret classic models in financial economics that build on an optimization argument;
  • construct economic models that imply an optimizing decision maker and perform analytical and /or numerical analysis.
  • communicate and discuss possible approaches to a certain problem in class;
  • work in groups and contribute to the implementation of economic optimization models. Defend the chosen approach in class.
  • apply methods of static and dynamic optimization to questions arising in financial economics;

Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Teaching/learning method(s)

This course will be taught as a combination of lectures in optimization theory and the solution of homework assignments, possibly in groups

Assessment

  • written final exam (weight: 70%)
  • 2 minitests  (weight of each test 15%)

Prerequisites for participation and waiting lists

  • Basic knowledge of Analysis and linear Algebra as in Mathematics I
  • An understanding of derivative pricing in one-period financial models will be helpful

Readings

1 Author: D. Bertsekas
Title: Nonlinear Programming

Publisher: Athena Scientific Publishing
Edition: 2nd
Year: 1999
Recommendation: Reference literature
Type: Book

Availability of lecturer(s)

brudloff@wu.ac.at

Other

 

Additional information on MyLEARN.

Lecture notes will be distributed during the course
Last edited: 2018-11-07



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