Financial Portfolio Optimization

Quantitative Finance / Portfolio Optimization using GAMS, FICO.

What you'll learn

Portfolio Optimization (check promo video for all info )

The effect of uncertain asset prices

The effect of deterministic asset prices

Coding in GAMS

Coding in FICO

Stochastic Optimization application in Finance

Requirements

The only prerequisite is to take the first course of the "giannelos dot com" program , which is the course "Data Science Code that appears all the time at workplace".

Description

THE COURSE IS BEING RADICALLY UPDATED ===================Who I am:I am a Research Fellow, leading the Research in industry projects in Mathematical Optimization & Data Science applied to Energy Investments, at Imperial College London.I have a PhD in Analytics and Mathematical Optimization, applied to Energy Investments, from Imperial College London.The old energy landscape is steadily being replaced by a new energy landscape that produces and consumes Big Data. To understand the new energy landscape we therefore need to adapt and make use of state-of-the-art Big Data algorithms and methods based on the latest advances on Data Science & Optimization.I offer specialized education and consultancy on Data Science, Optimization, Finance, all focused on energy investments.Make sure you sign up to be informed about my regular free webinars, to participate in quizzes, and to download publications and extra material.Important:No pre-requisites are needed:  You do not have to know Programming (eg Python or MATLAB or C ++) at ALL because we go through all the commands needed , in great detail and with many examples. We start from scratch, so that you do not need to have done any preparatory work in advance at all.  Just follow what is shown on screen, because we go slowly as we explain everything in detail. Nothing for you to guess or search online because we go slowly, and fully explain what is shown on screen. If you are an experienced programmer, then you may find that the videos go very slowly. This is true because I break down every command, especially the complex ones. There are other online courses on Udemy that simply give the code, and give you an overall description of it, and then you have to figure out what it does. In my courses, we do the opposite: we go very slowly and examine every command. This is why some videos may be 30 minutes, and this is because we go in depth , and fully describe the code.  In this course, there is NOTHING for you to search around on google because every line of code is explained in detail. So in the end of the course you will feel confident that you OWN everything that has been taught!   For the contents of this course, please watch the promo video and also read the contents and the reviews. This course has received very high reviews, on a consistent basis. This course has also been designed based on interview material (banks, energy companies/ organisations, software engineering roles etc) so by the end of it, you will be fully covered and confident that you will do well.As you can read in my profile, I am Head of Research so I have extensive experience in this field. So you are in good hands. Good luck, and anything you need, I am and will be here to help you.

Overview

Section 1: Introduction

Lecture 1 Innovative Research

Section 2: Intro to FICO Xpress

Lecture 2 Overview of this section

Lecture 3 Installation of FICO (part 1)

Lecture 4 Installation of FICO (part 2)

Lecture 5 Installation of FICO (part 3)

Lecture 6 Help resources

Lecture 7 A first Optimization model

Lecture 8 Running the model

Section 3: Installation of GAMS

Lecture 9 Overview of this section

Lecture 10 Installation

Lecture 11 Levels of uncertainty

Section 4: Uncertainty and Stochastic Optimization

Lecture 12 Stochastic Optimization, scenarios, sources of uncertainty

Lecture 13 Uncertainty and distributions

Lecture 14 Stochastic Optimization formulations

Section 5: Portfolio Optimization in FICO Xpress

Lecture 15 Stochastic Portfolio Optimization

Lecture 16 Asset prices (excel)

Lecture 17 FICO Model on Portfolio optimization

Lecture 18 Objective function

Lecture 19 Analysis and output

Lecture 20 Problem formulations

Section 6: Portfolio Optimization in GAMS

Lecture 21 Deterministic asset prices

Lecture 22 GAMS code for the deterministic problem

Lecture 23 Deterministic Portfolio Problem Formulation

Lecture 24 Stochastic Portfolio Optimization

Lecture 25 Code for Stochastic Portfolio Optimization

Lecture 26 Stochastic Portfolio Optimization Formulation

Section 7: Conclusion

Lecture 27 Key future research on Stochastic Optimization

Section 8: BONUS

Lecture 28 Extra knowledge on discount

Enterpreneurs,Economists.,Quants,Members of the highly googled giannelos dot com program,Investment Bankers,Academics, PhD Students, MSc Students, Undergrads,Postgraduate and PhD students.,Data Scientists,Energy professionals (investment planning, power system analysis),Software Engineers,Finance professionals