Data Analysis, Simulation, and Portfolio Optimization

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

Syllabus
Class Web Log
Meucci text website
Meucci MATAB Central website

Texts

Required: Simulation Techniques in Financial Risk Management, Ngai Hang Chan & Hoi-Ying Wong; Risk and Asset Allocation, Attilio Meucci
Recommended: Probability and Statistics, 3rd ed., Morris DeGroot & Mark Schervish; Monte Carlo Methods in Financial Engineering, Paul Glasserman; Introduction to Linear Optimization, Dimitris Bertsimas & John Tsitsiklis

Notes

Journal

Last Modified Thursday August 27, 2009

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