Optimization of Mathematical Finance
Course Code
AK3261
Number of Credits
3
Semester
Course Type
Study Material
| Study Material | Depth |
|---|---|
| Portfolio optimization | Expert |
| Portfolio optimization with constraints | Expert |
| Capital Asset Pricing Model | Expert |
| Value at Risk | Expert |
| Multiobjective optimization | Expert |
| Solving multiobjective optimization with metaheuristic methods | Expert |
| Solving multiobjective optimization with interactive methods | Expert |
Graduate Learning Outcomes (GLO) carried by the course
| CPMK Code | Course Learning Outcomes Elements (CLO) |
|---|---|
| CPMK 1 | Understanding of the theoretical basis and methods used in multiobjective optimization including metaheuristic methods and interactive methods. |
| CPMK 2 | Ability to model portfolio problems as a multi-objective optimization problem that maximizes returns and minimizes risks involving 2 or many assets. |
| CPMK 3 | Ability to describe portfolio optimization problems with various constraints including constraints without short selling, buy-in threshold, roundlot, and cardinality, as well as understanding capital asset pricing models and value at risk. |
| CPMK 4 | Ability to work, high curiosity, independence and communication in completing individual tasks related to portfolio optimization given using computer assistance. |
| CPMK 5 | Ability to work in a team to solve portfolio optimization problems using real data representing problems in the world of work using multi-objective optimization methods using computer assistance. |
Learning Method
- Lectures, Group Discussions, Case studies/problem based learning.
Learning Modality
- Offline, synchronous, standalone, and group.
Assessment Methods
- midterm test, final test, homework, and project assignments