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Financial Optimization
(dt. Financial Optimization)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
workload		 Lecture (3 SWS), recitation class (1 SWS) or 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 (individual examination)
Language,
Grading		 English,
The grading is done with 0 to 15 points according to the examination regulations for the degree program 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

  • can explain and apply the main approaches in portfolio optimization,
  • can explain basic theories of the respective classes of optimization problems and use solution methods,
  • have deepened their mathematical working methods (development of mathematical intuition and its formal justification, abstraction, proof),
  • have improved their oral communication skills in the exercises by practicing free speech in front of an audience and in discussions.

Prerequisites

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


Applicability

Module imported from M.Sc. Business Mathematics.

It 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. Mathematics, this module can be attended in the study area Compulsory Elective Modules in Mathematics.

The module is assigned to Applied Mathematics. Further information on eligibility can be found in the description of the study area.


Recommended Reading

  • Porembski, M.: Vorlesungsskript "Financial Optimization"



Please note:

This page describes a module according to the latest valid module guide in Winter semester 2025/26. 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.