- Kursusudbyder: Københavns Universitet
The course gives an introduction to the domain of practical financial risk and portfolio management. Participants will work with problem areas that can be attacked using optimization models.
Participants will be trained in quantitative evaluation of risk-return trade-offs, and learn how to model, solve, and document large, practical problems.
Participants who have followed the course will be able to formulate and solve optimization problems in GAMS in particular within the following areas:
- Measuring and managing return and risk trade offs
- Adding practical constraints to financial optimization problems
- Immunization and dedication of a bond portfolio
- Modelling Value at Risk and Conditional Value at Risk
- Back-testing results of ex-ante optimization