Applications of basic optimization models and techniques for decision making in financial markets. Quadratic optimization subject to linear equality constraints. Derivation of efficient portfolios and the Markowitz efficient frontier. The Capital Market Line. Practical portfolio optimization as a quadratic programming problem. A solution algorithm for quadratic programming problems. [Offered: W] Prereq: (AFM 272/ACTSC 291 or ACTSC 371 or BUS 393W or ECON 371) and (CO 250/350 or CO 227 with a grade of at least 70% or CO 352/CM 340 or CO 255/355); Not open to General Mathematics students. Antireq: CO 370 taken prior to Winter 2004
