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Course Syllabus

This 5-day course from May 26-30, 2014 at the India Institute of Technology in Kharagpur taught by Duan Li and Xiangyu Cui focuses on portfolio optimization and selection techniques. The course aims to introduce investment science and apply mathematical modeling and optimization to portfolio selection, as well as cover state-of-the-art literature in financial engineering. Topics included utility maximization, Markowitz mean-variance models, risk measures, index tracking, multi-period models, and robust, discrete, and risk-controlled mean-variance models.

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M Madan Gopal
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Download as PDF, TXT or read online on Scribd
40 views

Course Syllabus

This 5-day course from May 26-30, 2014 at the India Institute of Technology in Kharagpur taught by Duan Li and Xiangyu Cui focuses on portfolio optimization and selection techniques. The course aims to introduce investment science and apply mathematical modeling and optimization to portfolio selection, as well as cover state-of-the-art literature in financial engineering. Topics included utility maximization, Markowitz mean-variance models, risk measures, index tracking, multi-period models, and robust, discrete, and risk-controlled mean-variance models.

Uploaded by

M Madan Gopal
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Portfolio Optimization: Module 2

Duan Li and Xiangyu Cui


India Institute of Technology, Kharagpur
May 26 - 30, 2014

Course Description

To give a brief introduction to investment science, to learn how to apply mathematical


modeling and optimization techniques in portfolio selection and to understanding some
research issues in the field of mathematical finance and financial engineering by studying
state-of-the-are literature.

Course Contents
1. Utility maximization in portfolio selection
2. Markowitz mean-variance model
3. Markowitzs mean-variance model revisited
4. Mean-risk multi-objective framework and selection of risk measures
5. Index tracking model
6. Multi-period utility maximization in portfolio selection
7. Multi-period mean-variance model
8. Robust mean-variance model
9. Mean-variance model with marginal risk and systematic risk control

10. Mean variance model with cardinality constraint, minimum lot size or other discrete
constraints
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