Bergische Universität Wuppertal
Fachbereich Mathematik und Naturwissenschaften
Angewandte Mathematik - Numerische Analysis (AMNA)


Prof. Dr. Soňa Kilianová

Lecture Winter Term 2019/20:

Advanced Topics in Portfolio Optimization
(Advanced Topic)

(Start of Lecture 7.10.19)
 Lecture   Mo,  14:15 - 15:45   Room HS 25 
   Mo,  16:15 - 17:45   Raum HS 25 

Outline of the Lecture

The lecture is suitable for students of mathematics as well as for economics.
The students of economathematics can use it as component AKap.NAaA-a "Selected Topics in Numerical Analysis and Algorithms" in the module of the same name.

Topics of the Lecture:

  1. Convex extensions of the Markowitz portfolio selection problem
  2. Risk measures and decision models
  3. Hamilton-Jacobi-Bellman equation for dynamic portfolio optimization problems
detailed outline of the lecture.


Previous knowledge: Analysis I - III, basic knowledge of ordinary differential equations.

Exercises: Übungsblätter, Materialien

Criteria: Regular participation and participation in the exercise groups, as well as reaching 50% of the possible points on the first seven or the remaining exercise sheets and at least 2/3 of the possible points for the practical tasks.

University of Wuppertal
Faculty of Mathematics and Natural Sciences
Department of Mathematics
Applied Mathematics & Numerical Analysis Group

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