Teaching for 2011-12
Not teaching in the Fall
IEOR E4630: Applied Integer Programming
Prerequisites: Linear programming, linear algebra, and computer programming. This course is required for undergraduate students majoring in OR. Applications of mathematical programming techniques, especially integer programming, with emphasis on software implementation. Typical applications: capacity expansion, network design, and scheduling. Teaching materials will be available at Courseworks.
IEOR E4630: Asset Allocation
Prerequisites: Linear programming, Linear algebra, and some introduction to financial optimization. Introduction to modern asset allocation techniques. Topics include: Bond portfolio selection, Mean-variance portfolio selection, Active portfolio selection, Robust portfolio selection Beyond mean-variance: VaR, CVaR and approximation, Implementation details: Parameter estimation, Bayesian approaches, Transaction and trading costs. Teaching materials will be available at Courseworks.