Practical Financial Optimization - MATH
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.
The course also gives an introduction to the programming language GAMS (General Algebraic Modelling Systems), which will be used extensively in all the cases and examples.
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
Course provider contact information
About ECTS points ECTS stands for European Credit Transfer System. This is a system that can be used for credit transfer within higher education abroad or in Denmark.
June 5, 2024
Current level of education
Kursusstart: August 2024.