Quant analysis on Portfolio Optimization


Updated on

Course overview

Course type
Paid course
4 hours
27 lessons
Available on completion
Course author
Dr. Spyros Giannelos .
  • Portfolio Optimization
  • The effect of uncertain asset prices
  • The effect of deterministic asset prices
  • Coding in GAMS
  • Coding in FICO
  • Stochastic Optimization application in Finance


Discover how Mathematical Optimization models can be applied to Financial Portfolio Optimization by building your own


Do you want to get this course at the smallest possible price and not at the price that Udemy has set ??

Look at this screen on your right, where it says "Apply coupon".
And in there, copy-paste this code: 17D64B91979895EEA978  and you're all set! 


We develop Stochastic Optimization models and apply them to Finance. Specifically... 

a) We install  FICO and GAMS software and learn the fundamental code needed.

b) We define what Stochastic Optimization is,  what a scenario is, what uncertainty is, what the levels of uncertainty are,
what a Scenario Tree is , and we look at mathematical formulations for Stochastic Optimization.

c) We apply Stochastic Optimization to Finance. Specifically we build a Portfolio Optimization model. We use FICO and GAMS software tools.

d)  We learn the differences between deterministic and stochastic optimization.  The code is significantly different in these two versions of optimization. 

e) We conduct sensitivity analyses on stochastic optimization problems.

The entire FICO and GAMS code, and complementary material used in this course, are all available to download.

No prerequisites are specified for this course.

We start, literally, from the very beginning and build , step by step, the necessary knowledge.

In case you have difficulties , please feel free to post them in the Q & A section.

Thank you, and see you in the course.

Any questions you may have please feel free to message me or to simply participate in the Q and A section inside the course.

This will allow you to engage with fellow researchers and finance audience.

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Quant analysis on Portfolio Optimization
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