The objective of the course is to introduce theoretical and computational methods for portfolio optimization problems. In detail:

– the course presents the classical approaches proposed in literature for portfolio optimization problems and considers some issues addressed by recent research contributions in the field;
– the course provides tools to analyze and solve a variety of investment problems both with respect to the objective functions and with respect to the considered constraints;
– the course provides mathematical techniques for the solution of the resulting optimization problems;
– the course provides understandings for portfolio management theory and skills to manage the results of the analysis to make informed decisions.

The course is directed to students who are interested in broadening their knowledge on mathematical and computational methods for a wide class of portfolio management problems.

At the end of the course students are expected to be able to critically analyze a variety of investment problems, to formalize each of them into a proper optimization problem, to be able to choose appropriate solution approaches, and to solve such problems obtaining the optimal portfolio choices.