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Borrowed courses

OPTIMIZATION IN FINANCE

CONSULENZA AZIENDALE E LIBERA PROFESSIONE

CORSO GENERICO
OPTIMIZATION IN FINANCE

MANAGEMENT

INNOVATION
OPTIMIZATION IN FINANCE

MANAGEMENT

FINANZA
OPTIMIZATION IN FINANCE

MANAGEMENT

MARKETING
OPTIMIZATION IN FINANCE

MANAGEMENT

INTERNATIONAL BUSINESS

Other Courses of the Study Programme

Course year: 2

ADMINISTRATION LAW - 6 credits - Student's own choice
ADVANCED FINANCIAL ACCOUNTING (CONSOLIDATED FINANCIAL STATEMENT) - 9 credits - Student's own choice
ASSET MANAGEMENT AND INSTITUTIONAL INVESTORS - 9 credits
BANKING AND FINANCIAL OPERATIONS - 2 credits
BANKRUPTCY LAW - 6 credits - Student's own choice
BUSINESS ENGLISH - 6 credits - Student's own choice
BUSINESS HISTORY - 9 credits - Student's own choice
COMMERCIAL LAW - 6 credits - Student's own choice
COMMUNICATION MANAGEMENT - 9 credits - Student's own choice
CONTRACT LAW FIRM - 6 credits - Student's own choice
CORPORATE FINANCE (MERGERS, ACQUISITIONS AND CORPORATE RESTRUCTURING) - 6 credits - Student's own choice
CORPORATE GOVERNANCE AND CONTROL SYSTEMS - 9 credits - Student's own choice
DATA ANALYSIS FOR BUSINESS AND FINANCE - 6 credits - Student's own choice
DEGREE THESIS - 16 credits - Language/Final Examination
ECONOMETRICS OF FINANCIAL MARKETS - 6 credits - Characterising
ECONOMIC HISTORY OF THE PROFESSIONS - 6 credits - Student's own choice
ECONOMICS OF TAXATION - 9 credits - Student's own choice
ETHICS AND ECONOMICS - 2 credits
EU LABOUR LAW - 6 credits - Student's own choice
EUROPEAN PUBLIC LAW - 6 credits - Student's own choice
FINANCIAL CRISIS - 6 credits - Characterising
FINANCIAL INVESTMENT TAXATION - 6 credits - Student's own choice
FINANCIAL MANAGEMENT - 9 credits
FINANCIAL MARKETS LAW - 6 credits - Characterising
FINANCIAL STATEMENT ANALYSIS AND FINANCIAL COMMUNICATION - 9 credits - Related/Supplementary
HISTORY OF GLOBALIZATION - 9 credits - Student's own choice
HUMAN RESOURCE MANAGEMENT - 9 credits - Student's own choice
INDUSTRIAL ECONOMICS AND POLICY - 6 credits - Student's own choice
INTERNATIONAL ACCOUNTING AND REPORTING ISSUES - 6 credits - Student's own choice
INTERNATIONAL ECONOMIC ENVIRONMENT FOR BUSINESS - 9 credits - Student's own choice
INTERNATIONAL MARKETING - 9 credits - Student's own choice
INTERNATIONAL TRANSPORTATION LOGISTICS - 6 credits - Student's own choice
INTRODUCTION TO CSR - 2 credits
INTRODUCTION TO LOGISTICS - 6 credits - Student's own choice
INVESTMENT AND FINANCING ANALYSIS - 9 credits - Student's own choice
LABOUR MARKET, PROFESSIONAL TRAINING AND TYPES OF CONTRACT - 2 credits
LEADERSHIP AND COMPLEX ORGANIZATIONS - 6 credits - Student's own choice
LOGISTICS MANAGEMENT - 12 credits
LOGISTICS TECHNOLOGIES - 9 credits - Student's own choice
MACROECONOMIC OUTLOOK AND POLICIES - 9 credits - Student's own choice
MARKETING MANAGEMENT - 9 credits - Student's own choice
MARKETING-ADVANCED - 6 credits - Student's own choice
MODELS FOR ENERGY MARKETS - 6 credits - Student's own choice
OPTIMIZATION IN FINANCE - 6 credits - Student's own choice
PRODUCTION MANAGEMENT - 6 credits - Student's own choice
QUANTITATIVE METHODS FOR ECONOMICS AND BUSINESS - 9 credits - Student's own choice
RISK MANAGEMENT AND EXTERNAL CONTROLS - 6 credits - Student's own choice
SERVICE MARKETING - 6 credits - Student's own choice
SOCIOLOGY OF INNOVATION - 6 credits - Student's own choice
SPECIAL TOPICS IN REPORTING (SOCIAL AND ENVIRONMENTAL REPORTING) - 6 credits - Student's own choice
STATISTICS FOR BUSINESS DECISIONS - 9 credits - Student's own choice
STATISTICS FOR FINANCE - 9 credits - Student's own choice
STATISTICS FOR MARKETING - 9 credits - Student's own choice
SUPPLY CHAIN AND PRODUCTION - 12 credits
SUPPLY CHAIN AND TRANSPORTATION - 12 credits
SUPPLY CHAIN MANAGEMENT - 6 credits - Student's own choice
TAX LAW - 9 credits - Student's own choice
THE BUSINESS PLAN IN CASE OF START-UP INITIATIVES - 2 credits
TRANSPORTATION MANAGEMENT - 6 credits - Student's own choice

OPTIMIZATION IN FINANCE

Single discipline educational activity

Course Sheet

Academic Year of enrolment:

2012/2013

Academic Year of provision:

2013/2014

Type of Course:

Student's own choice

Degree:

Master's Degree Programme in MONEY, FINANCE AND RISK MANAGEMENT

Disciplinary Sector:

Operational Research

Grouping type:

Credits:

Programme Year:

Cycle:

Second four months

Hours of classroom activity:

Hours of individual study:

110

Educational Goals

The course is aimed at giving the necessary tools to analyze and solve financial optimization problems such as portfolio optimization and capital budgeting, starting from modelling the problems, then analyzing different solution methods and finally learning the use of dedicated commercial softwares. The topics will cover linear programming, integer linear programming and quadratic programming applied to financial optimization problems.

Extended Syllabus

Subjects of the course:
• Introduction to operations research.
• Analysis and mathematical modelling of optimization problems.
• Optimization with data uncertainty.
• Notes on financial modelling: portfolio optimization and risk management.
• Linear programming: problem analusis and geometric properties.
o Linear programming applications to finacial problems:
 Cash-flow problems.
 Asset pricing and arbitrage.
o Solving linear programming problems through MPL.
• Notes on quadratic programming: portfolio optimization.
• Introduction to integer programming: properties and applications:
o Construction of an index fund.
• Solving quadratic programming and integer programming problems through MPL.
• Optimization with data uncertainty:
o Decision analysis and decision trees.
o Notes on simulation theory: Monte Carlo method.
o Stochastic programming: Value-at-Risk models.
o Solving quadratic optimization problems with data uncertainty through MPL.

Recommended Bibliography

G. Ghiani, R. Musmanno: "Modelli e metodi decisionali in condizioni di incertezza", McGraw-Hill, Milano, 2009.
F.S. Hillier, G.J. Lieberman: "Ricerca Operativa", ottava edizione, McGraw-Hill, Milano, 2005. C. Vercellis: "Ottimizzazione: teoria, metodi e applicazioni", McGraw-Hill, Milano, 2008.
G. Cornuejols, R. Tütüncü: "Optimization methods in finance", Cambridge University Press, Cambridge, 2007.
Material provided during the lectures.

Teaching Methods

The lectures will be given in classrooms and labs. It is important to attend the course.

Assessment Methods

At the end of the course there will be a written exam followed by a project which will then be discussed. The final mark is an average of the marks obtained in the written proof and in the project.

Assessment:

Final Mark

Programme of Educational Activities

Start date of teaching period:

Monday, February 17, 2014

End date of teaching period:

Tuesday, June 3, 2014