This entry is from Winter semester 2018/19 and might be obsolete. No current equivalent could be found.
(dt. Financial Optimization)
|Level, degree of commitment||Advanced module, depends on importing study program|
|Forms of teaching and learning,
|Lecture (3 SWS), recitation class (1 SWS) oder
lecture (2 SWS), recitation class (2 SWS), |
180 hours (60 h attendance, 120 h private study)
Course requirement(s): Written or oral examination
Examination type: Successful completion of at least 50 percent of the points from the weekly exercises.
|German,The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.|
|Origin||M.Sc. Business Mathematics|
|One semester, |
|Person in charge of the module's outline||Prof. Dr. Dr. Marcus Porembski|
- Static portfolio models, asset pricing, risk measures and optimization (nonlinear programming, quadratic optimization)
- Robust portfolio models and optimization (second order cone programming, semidefinite optimization)
- Dynamic portfolio models, asset liability management and optimization (stochastic programming)
The students shall
- be familiar with the essential approaches in portfolio optimization and their application,
- be familiar with the respective classes of optimization problems (basic theory and solution methods),
- practice mathematical working methods (development of mathematical intuition and its formal justification, training of the ability to abstract, proof techniques),
- improve their oral communication skills in the exercises by practicing free speech in front of an audience and during discussion.
Translation is missing. Here is the German original:
Keine. Empfohlen werden die Kompetenzen, die im Aufbaumodul Lineare Optimierung vermittelt werden.
The module can be attended at FB12 in study program(s)
- B.Sc. Mathematics
- B.Sc. Business Mathematics
- M.Sc. Computer Sciences
- M.Sc. Mathematics
- M.Sc. Business Mathematics
When studying M.Sc. Business Mathematics, this module can be attended in the study area Applied Modules in Business Mathematics.
The module can also be used in other study programs (export module).
- Porembski, M.: Vorlesungsskript "Financial Optimization"
Most translations on this page are (as of now) unchecked automatic translations. We are in the process of checking them. Until then, there might be errors due to faulty translation.
This page describes a module according to the latest valid module guide in Winter semester 2018/19. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:
- Winter 2016/17
- Summer 2018
- Winter 2018/19
- Winter 2019/20
- Winter 2020/21
- Summer 2021
- Winter 2021/22
- Winter 2022/23
- Winter 2023/24 (no corresponding element)
The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.
The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.