Main content

German original

Financial Optimization
(dt. Financial Optimization)

Level, degree of commitment in original study programme Advanced module, compulsory elective module
Forms of teaching and learning,
workload
Lecture (3 SWS), recitation class (1 SWS) oder lecture (2 SWS), recitation class (2 SWS),
180 hours (60 h attendance, 120 h private study)
Credit points,
formal requirements
6 CP
Course requirement: Successful completion of at least 50 percent of the points from the weekly exercises.
Examination type: Written or oral examination
Language,
Grading
German,
The grading is done with 0 to 15 points according to the examination regulations for study course M.Sc. Business Mathematics.
Original study programme M.Sc. Wirtschaftsmathematik / Wirtschaftsmathematische Anwendungsmodule
Duration,
frequency
One semester,
irregular
Person in charge of the module's outline Prof. Dr. Dr. Marcus Porembski

Contents

  • 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)

Qualification Goals

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.

Prerequisites

None. The competences taught in the following module are recommended: Linear Optimization.


Recommended Reading

  • Porembski, M.: Vorlesungsskript "Financial Optimization"



Please note:

This page describes a module according to the latest valid module guide in Wintersemester 2020/21. 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:

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.