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Oct 30, 2025
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AMS 518 - Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization
The course provides a thorough treatment of advance risk measurement and portfolio optimization, extending the traditional approaches to these topics by combining distributional models with risk or performance measures into one framework. It focuses on, among others, the fundamentals of probability metrics and optimization, new approaches to portfolio optimization and a variety of essential risk measures. Numerical exercises and projects in a high-level programming environment will be assigned.
3 credits
Prerequisite(s): AMS 512 or AMS 516 or AMS 522
Grading Letter graded (A, A-, B+, etc.)
Offered Fall
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