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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