Portfolio optimization

This course aims to introduce students to optimization methods for the construction of optimal portfolios.
The identification of the optimal strategies will be presented under two different setups. In the first investors are not allowed to rebalance the portfolio during the period of the investment and the optimal weights are fixed at the beginning of the time horizon by maximizing some measures of investor's satisfaction or by minimizing an appropriate risk measure. In this context specific methodologies will be discussed based on the nature of the assets considered in the portfolio.
In the second setup the possibility of rebalancing the structure of portfolio are introduced in discrete and continuous time framework.

At the end of the course students will be able to determine optimal portfolio strategies based on investor preferences. Students will become familiar with the construction of portfolios in a static and in a dynamic context, will possess a proper terminology and will acquire mathematical tools that allow to cope with portfolio optimization problems that arise in financial institutions or in insurance companies.