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ACTSC 973Portfolio Optimization

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Actuarial Science
Cross-listed
CO 778

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 0 of the last 7 terms. Winter 2027: not on the schedule. Spring 2027: schedule not out yet.

Basic optimization: quadratic minimization subject to leanear equality constraints. Effecient portfolios: the efficient frontier, the capital market line, Sharpe ratios and threshold returns. Practical portfolio optimization: short sales restrictions target portfolios, transactions costs. Quadratic programming theory. Special purpose quadratic programming algorithms for portfolio optimization: today's large investment firms expect to solve problems with at least 1000 assets, transactions costs and various side constraints in just a few minutes of computation time. This requires very specialized QP algorithms. An overview of such algorithms will be presented with computational results from commercial problems. The efficient frontier, the capital market line, Sharpe ratios and threshold returns in practice.

Prerequisites

None listed.

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Discussed on r/uwaterloo

2 posts and comments in 1 thread mention ACTSC 973, October 2017 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Fall 2017

PSA: UWCourseLinker back up, disabled by default, call with [[course code]] 39 points, 31 comments

u/RayDWatson: “… [[ACTSC964]] [[ACTSC965]] [[ACTSC966]] [[ACTSC970]] [[ACTSC971]] [[ACTSC972]] [[ACTSC973]] [[ACTSC974]] [[ACTSC980]] [[ACTSC991]] [[ACTSC992]] [[ADMGT601]] [[ADMGT602]] [[ADMGT603]] [[ADMGT604]] [[ADMGT605]] [[ADMGT606]] [[AFM101]] [[AFM102]] [[AFM121]] [[AFM123]] [[AFM131]] …”

u/UWCourseLinker: “… - Aggregate Claims Models ACTSC 970 - Finance 1 ACTSC 971 - Finance 2 ACTSC 972 - Finance 3 ACTSC 973 - Portfolio Optimization ACTSC 974 - Financial Econometrics ACTSC 980 - Social Insurance ACTSC 991 - Topics in Actuarial Science ACTSC 992 - Seminar in Actuarial Science ADMGT …”

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Check it elsewhere for Fall 2026

Calendar versions

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In 42 terms, Fall 2006 to Winter 2024