Portfolio Optimization

Undergraduate

This is a first course on Markowitz mean-variance portfolio optimization. The course will cover quadratic programming, parametric quadratic programming, the efficient frontier, the capital asset pricing model, Sharpe ratios and implied risk-free returns, portfolio optimization with constraints, and quadratic programming solution algorithms; also covered are professional writing and presentation skills and the use of optimization software. (Prerequisite: MATH-2251.) (3 lecture hours per week.) (May be offered as a cross-career course with MATH-8820.) 647 Winter 2027 Undergraduate Calendar