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2021-02-18 10:19:10
30-Day Money-Back Guarantee
Development Data Science Financial Analysis

Complete Portfolio Optimization Bootcamp from Scratch

Discover how Mathematical Optimization models can be applied to Financial Portfolio Optimization by building your own
New
Rating: 5.0 out of 55.0 (5 ratings)
105 students
Created by Dr. Spyros Giannelos .
Last updated 2/2021
English
English [Auto]
30-Day Money-Back Guarantee

What you'll learn

  • Portfolio Optimization
  • The effect of uncertain asset prices
  • The effect of deterministic asset prices
  • Coding in GAMS
  • Coding in FICO
  • Stochastic Optimization application in Finance

Course content

6 sections • 26 lectures • 3h 17m total length

  • Preview02:12
  • Preview00:57
  • Preview01:05
  • Preview01:31
  • Preview02:44
  • Preview04:56
  • Preview05:31

  • Preview02:13
  • Installation
    07:03

  • Stochastic Optimization
    03:14
  • Levels of uncertainty
    06:09
  • Uncertainty and distributions
    08:08
  • Stochastic Optimization formulations
    16:48

  • Preview14:08
  • Asset prices (excel)
    00:03
  • FICO Model on Portfolio optimization
    00:03
  • Objective function
    15:02
  • Analysis and output
    24:52
  • Problem formulations
    00:03

  • Deterministic asset prices
    16:10
  • File with the GAMS code for the deterministic problem
    00:03
  • CODE: Deterministic Portfolio Problem Formulation
    20:52
  • Stochastic Portfolio Optimization
    19:24
  • Code for Stochastic Portfolio Optimization
    00:01
  • Stochastic Portfolio Optimization Formulation
    20:22

  • Key future research on Stochastic Optimization
    04:22

Requirements

  • There are no pre-requisites. We start from zero.

Description

We develop Stochastic Optimization models and apply them to Finance. Specifically... 


a) We install  FICO and GAMS software and learn the fundamental code needed.

b) We define what Stochastic Optimization is,  what a scenario is, what uncertainty is, what the levels of uncertainty are,
what a Scenario Tree is , and we look at mathematical formulations for Stochastic Optimization.

c) We apply Stochastic Optimization to Finance. Specifically we build a Portfolio Optimization model. We use FICO and GAMS software tools.

d)  We learn the differences between deterministic and stochastic optimization.  The code is significantly different in these two versions of optimization. 

e) We conduct sensitivity analyses on stochastic optimization problems.


The entire FICO and GAMS code, and complementary material used in this course, are all available to download.


No prerequisites are specified for this course.

We start, literally, from the very beginning and build , step by step, the necessary knowledge.

In case you have difficulties , please feel free to post them in the Q & A section.

Thank you, and see you in the course.

Any questions you may have please feel free to message me or to simply participate in the Q and A section inside the course.

This will allow you to engage with fellow researchers and finance audience.

Who this course is for:

  • Quant Researchers
  • PhD Students and Academics
  • Investors and Enterpreneurs
  • Postgraduate students with an interest in finance

Instructor

Dr. Spyros Giannelos .
Analytics & Optimization
Dr. Spyros Giannelos .
  • 4.9 Instructor Rating
  • 91 Reviews
  • 1,459 Students
  • 4 Courses

Having acquired expertise in Analytics and Optimization, there is no greater satisfaction than passing high-quality knowledge to aspiring Data Scientists, Engineers and Entrepreneurs. I have obtained a PhD in Mathematical Optimization from Imperial College London, and I would like to share with you my passion for this field of science.

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