GAMS Pre-Conference Workshop

  • Date and Duration: Tuesday, May 27th, 14:00 - 18:00
  • Title: Practical Financial Optimization
Please visit the official GAMS workshop page for up-to-date schedule updates and workshop registration.

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

Updated: March 12, 2008