- Kursusudbyder: Københavns Universitet
- ECTS-point: 7,5
- Undervisningssprog: Engelsk
- Udbudt til: Forår
- Tilmeldingsfrist: 1. juni 2020
- Kursets uddannelsesniveau: Masterniveau
Day 1 Introduction to GAMS using mean variance/ mean standard deviation optimization.
Day 2 Continued introduction to GAMS. Adding practical constraints such as fixed costs, size constraints and gearing to the mean variance model. Analysing the results in Excel.
Day 3 Continued introduction to GAMS. Introducing classical concepts in fixed income modelling and management: yield curve generation, portfolio dedication and immunization.
Day 4 and 5 Project work. The participants will be asked to formulate, solve and analyse a GAMS model based on a given problem formulation. The results should be presented at the end of week 1.
Day 1 Scenario generation and optimization. Case: index tracking and regret minimization.
Day 2 Scenario optimization continued. Case: Value at Risk and Conditional Value at Risk.
Day 3 Stochastic programming. Case: Mortgage loan refinancing.
Day 4 The final project will be introduced. We will work together on developing a back-testing framework for use in the final project.
Day 5 We will work on the final project in the class. By the end of this day the students should be able to perform independent work on the project.