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This entry is from Winter semester 2022/23 and might be obsolete. No current equivalent could be found.

Financial Optimization
(dt. Financial Optimization)

Level, degree of commitment Specialisation 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(s): 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.
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.


Applicability

The module can be attended at FB12 in study program(s)

  • B.Sc. Mathematics
  • B.Sc. Business Mathematics
  • M.Sc. Computer Science
  • 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).


Recommended Reading

  • Porembski, M.: Vorlesungsskript "Financial Optimization"



Please note:

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 2022/23. 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.