IAM550 PORTFOLIO OPTIMIZATION
| Course Code: |
9700550 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
|
| Offered Semester: |
Fall or Spring Semesters. |
Course Content
Mean-Variance (Markowits) analysis; continuous-time market model in finance;option and exotic options, pricing (valuation) of options; self-finansing , optimal strategies, optimal portfolios (problems); martingale method; stochastic control amd portfolio optimization.
