ORIE 5370

Last Updated

  • Schedule of Classes - October 15, 2026 7:07PM EDT

ORIE 5370
Optimization Modeling in Finance

Course information provided by the 2026-2027 Catalog.

Explores optimization in the context of finance, including methodologies beyond linear programming, such as second-order cone programming and semidefinite programming. Topics include Markowitz portfolio theory and modeling; factor models for portfolio selection and risk control; the Black-Litterman model (and related Bayesian topics); utility functions; coherent risk measures; stochastic programming; and optimal execution of portfolio transactions. Emphasis is on concepts that are directly implementable.


Enrollment Information Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (M.Eng.) students; others by permission of instructor.

Last 4 Terms Offered 2026SP, 2025SP, 2024SP, 2023SP

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 15494 ORIE 5370   LEC 001

  •  
    • TR
    • Jan 25 - May 11, 2027

    • Doikov, N

  • Instruction Mode: In Person