QF 5278-0

Brief

The course serves as a twin course of Robust and Stochastic Portfolio Optimization (QF527200). After a quick review of some key topics from linear algebra, the course will dive into the theory of optimization with a focus on its application in quantitative finance. Specifically, this course covers an extensive introduction to the topics of first-order optimization methods. The coverage of material will be suitable for graduate students with a focus on financial engineering, stochastic optimization, and quantitative trading. Many of the results will be presented in a definition-theorem-proof manner. Prerequisite mathematical maturity is essential for success in this course.

Description

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Timetable

Scores

Average Percentage 80.11

Std. Deviation 5.11

Remarks

本課程為16週課程，建議先修科目：線性代數，高等微積分，數理統計(or機率論)。

Restrictions

計財系優先，第3次選課起開放全校修習

Compulsory

Elective

Cross Discipline

First Specialization

Second Specialization