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Practical Financial Optimization - MATH

Course provider

Københavns Universitet

Location

  • Copenhagen

Description

Competencies
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.

Skills
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

Københavns Universitet

Practical information

Course provider

Københavns Universitet

Location

  • Copenhagen

Course provider contact information

Contact the study administration
E-mail: efteruddannelse@science.ku.dk
Tel.:35 33 35 33

ECTS credits

7,5

About ECTS Credits
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.

Course language

English

Offered to

Spring

Deadline

June 5, 2024

Current level of education

Master/Kandidat

Course duration

Kursusstart: August 2024.

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