GAMS
Pre-Conference Workshop
- Date and Duration: Tuesday, May 27th, 14:00 - 18:00
- Title: Practical Financial Optimization
Content
The workshop will cover part of the topics addressed in the
forthcoming book "Practical Financial Optimization - A library of GAMS
Models". We will supply the participants with a spectrum of
optimization models, from simple to complex, and sage advice on how to
use them.
The workshop will be a combination of presentations, computer
modeling exercises and case studies. Presentations will include
complete models and documentation.
Outline of the course
- Mean variance models
- Objective function and constraints definitions
- Building an efficient frontier
- Customizing the portfolio with additional constraints
- Utility Models
- Objective function and constraints definitions
- Portfolios vs risk aversion
- MAD Models
- Objective function and constraints definitions
- Tracking models
- Minimum \epsilon tolerance
- Two case studies
- The BSI Model
- The Prometeia Model
For further information and registration please contact: courses at gams.de
