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Description:
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This course covers optimization techniques to solve financial problems such as linear programming, nonlinear programming, integer programming, dynamic programming, and stochastic programming with examples of financial applications. This is a project based course, with two projects involving real world data with minor implifications of problems faced by practitioners. The first project is a bond portfolio construction project for a pension fund. The second project is a group project on one of the following topics: portfolio optimization, index fund construction, structuring collateralized mortgage obligations, option replication. The second project requires a presentation of the analysis.
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