WClasses
CO 372 - Portfolio Optimization Models
Computational optimization methodologies underlying portfolio problems in finance. Computational linear algebra, determining derivatives, quadratic, and nonlinear optimization. The efficient frontier problem. Applications of optimization in finance such as volatility surface determination and global minimization for value-at-risk.
Prerequisites
One of AFM272/ACTSC291, ACTSC371, ACTSC372, BUS393W, ECON371; CO227 with a grade of at least 70% or One of CO250, CO255, CO352.
Corequisites
None
Antirequisites
CO370 taken prior to winter 2004
Offerings
Winter 2026 [1261]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5897 | 131 / 140 | 08:30 - 09:50 | M,W |
Fall 2025 [1259]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6511 | 90 / 96 | 11:30 - 12:50 | M,W |
Winter 2025 [1251]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5981 | 143 / 140 | 16:00 - 17:20 | T,Th |
Winter 2024 [1241]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6004 | 104 / 120 | 13:00 - 14:20 | T,Th |
Fall 2023 [1239]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6378 | 73 / 90 | 11:30 - 12:50 | T,Th |
Winter 2023 [1231]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6135 | 89 / 120 | 11:30 - 12:20 | M,W,F | EV3 1408 | Stephen Vavasis |
Fall 2022 [1229]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 7487 | 61 / 100 | 13:00 - 14:20 | T,Th | DC 1351 | Ricardo Fukasawa |
Winter 2022 [1221]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6004 | 50 / 120 | 13:00 - 14:20 | T,Th | MC 4021 | Chaitanya Swamy |
Fall 2021 [1219]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6543 | 94 / 100 | 14:30 - 15:50 | M,W | Henry Wolkowicz |
Winter 2021 [1211]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 041 | 6055 | 84 / 80 | Stephen Vavasis |
Fall 2020 [1209]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 041 | 6439 | 113 / 120 | Tom Coleman |
Winter 2020 [1201]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5903 | 97 / 120 | 08:30 - 09:50 | M,W | EIT 1015 | Tom Coleman |
Fall 2019 [1199]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6271 | 67 / 100 | 14:30 - 15:50 | T,Th | MC 4045 | Stephen Vavasis |
Winter 2019 [1191]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5779 | 99 / 120 | 11:30 - 12:50 | T,Th | MC 4021 | Joseph Cheriyan |
| LEC 002 | 9440 | 1 / 1 |
Fall 2018 [1189]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6128 | 63 / 100 | 16:00 - 17:20 | M,W | MC 2054 | Thomas Frederick Coleman |
Winter 2018 [1181]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5836 | 54 / 120 | 11:30 - 12:50 | T,Th | MC 4059 | Henry Wolkowicz |
Fall 2017 [1179]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6252 | 35 / 100 | 08:30 - 09:50 | M,W | MC 2017 | Thomas Frederick Coleman |
Winter 2017 [1171]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5569 | 80 / 120 | 12:30 - 13:20 | M,W,F | MC 4059 | Stephen Vavasis |
Fall 2016 [1169]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6248 | 24 / 100 | 11:30 - 12:20 | M,W,F | MC 2017 | Thomas Frederick Coleman |
| LEC 002 | 9202 | 1 / 1 |
Winter 2016 [1161]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6113 | 90 / 120 | 13:00 - 14:20 | T,Th | MC 4059 | Thomas Frederick Coleman |
Fall 2015 [1159]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6545 | 39 / 100 | 08:30 - 09:50 | T,Th | DWE 3522 | Wei Xu |
Winter 2015 [1151]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5902 | 94 / 120 | 14:30 - 15:20 | M,W,F | DWE 1501 | Konstantinos Georgiou |
Fall 2014 [1149]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 6245 | 43 / 100 | 10:30 - 11:20 | T,Th,F | MC 1085 | |
| LEC 002 | 8690 | 1 / 1 |
Winter 2014 [1141]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5717 | 97 / 120 | 12:30 - 13:20 | M,W,F | MC 4059 | Konstantinos Georgiou |
Fall 2013 [1139]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5936 | 42 / 100 | 13:00 - 14:20 | T,Th | MC 4045 | Thomas Frederick Coleman |
Winter 2013 [1131]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5479 | 119 / 120 | 11:30 - 12:20 | M,W,F | MC 4020 | Konstantinos Georgiou |
Fall 2012 [1129]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 7475 | 75 / 120 | 13:00 - 14:20 | T,Th | MC 4021 | Thomas Frederick Coleman |
| LEC 002 | 8504 | 1 / 1 |
Winter 2012 [1121]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5273 | 122 / 120 | 11:30 - 12:20 | M,W,F | MC 4059 | Michael J Best |
| LEC 002 | 8358 | 3 / 1 |
Winter 2011 [1111]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5243 | 120 / 120 | 11:30 - 12:20 | M,W,F | MC 4059 | Michael J Best |
Winter 2010 [1101]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5229 | 124 / 120 | 11:30 - 12:20 | M,W,F | MC 4061 | Michael J Best |
Fall 2009 [1099]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 7949 | 1 / 1 |
Winter 2009 [1091]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 4470 | 87 / 90 | 11:30 - 12:20 | M,W,F | MC 4021 | Michael J Best |
Winter 2008 [1081]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3648 | 84 / 80 | 11:30 - 12:20 | M,W,F | MC 2038 | Michael J Best |
Winter 2007 [1071]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3629 | 60 / 80 | 11:30 - 12:20 | M,W,F | MC 2054 | Michael J Best |
Winter 2006 [1061]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3589 | 38 / 50 | 11:30 - 12:50 | T,Th,P,H,Y | Michael J Best |
Winter 2005 [1051]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 3607 | 18 / 30 | 11:30 - 12:20 | M,W,F,A,L | Romy Shioda |
Winter 2004 [1041]
| Section | Class | Enrolled | Time | Days | Location | Instructor |
|---|---|---|---|---|---|---|
| LEC 001 | 5005 | 18 / 80 | 09:30 - 10:20 | M,W,F,M,C | Michael J Best |