Nr. | LV-Typ(en) | LV-Titel | |
5668 | PI | Optimization
Anmeldung über LPIS vom 01.02.2024 16:00 bis 18.02.2024 23:59 Abmeldung über LPIS vom 01.02.2024 16:00 bis 10.03.2024 23:59 |
LV-Leiter/in | Univ.Prof. Dipl.Wirtsch.-Math.Dr. Birgit Rudloff |
Planpunkte Master | Wahlfach - Advanced Topics in Mathematical Finance |
Semesterstunden | 2 |
Unterrichtssprache | Englisch |
Termine | ||||
Mi, | 13.03.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mi, | 20.03.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mi, | 17.04.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mi, | 24.04.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mo, | 29.04.2024 | 14:00-17:00 Uhr | D4.0.136 (Lageplan) | |
Mi, | 08.05.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mi, | 15.05.2024 | 14:00-17:00 Uhr | D4.0.127 (Lageplan) | |
Mi, | 29.05.2024 | 14:00-16:00 Uhr | P | EA.6.026 (Lageplan) |
Termindownload (ical) | Termine abonnieren |
Weitere Informationen | https://learn.wu.ac.at/vvz/24s/5668 |
Kontakt: | ||
birgit.rudloff@wu.ac.at | ||
Inhalte der LV: | ||
In this lecture we give an introduction to important tools in optimization and convex analysis that are needed in various parts of quantitative finance. Part one of the lecture is devoted to unconstrained optimization problems. Part two is devoted to the solution of constrained optimization problems via Lagrange multiplier theory and methods based on calculus. The third part of the lecture deals with convex analysis and duality theory for convex optimization problems. In order to illustrate the methods we will study several applications in economics and finance including Markowitz portfolio optimization, optimal production plans, portfolio optimization via expected utility maximization and cost-minimal superreplication. |
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Lernergebnisse (Learning Outcomes): | ||
After completing this course the student will have the ability to:
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Regelung zur Anwesenheit: | ||
Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed. |
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Lehr-/Lerndesign: | ||
This course will be taught as a combination of lectures in optimization theory and homework assignments. |
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Leistung(en) für eine Beurteilung: | ||
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Teilnahmevoraussetzung(en): | ||
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