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OPR 660 OR Models in Finance 3.0 Credits
This course focuses on quantitative methods for financial planning such as optimal investment strategy, currency conversion, portfolio optimization, etc. Topics include fundamental concepts in (quantitative) finance, convexity theory, general theory of linear programming (duality, Farkas’ Theorem on linear inequalities, von Neumann’s Theorem on two-person zero-sum game), basics of probability and stochastic optimization models in finance. Furthermore, some recent advances in the theory of risk measurement, such as VaR (Value-at-Risk), CVaR (Conditional Value-at-Risk), and their multivariate counterpart; MVaR and MCVaR, etc., are also covered.
Repeat Status: Not repeatable for credit
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