uwloo

CO 372Portfolio Optimization Models

Units
0.50
Faculty
Mathematics
Subject
Combinatorics and Optimization

When it runs

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

Ran in 5 of the last 7 terms. Winter 2027: scheduled, 2 lecture sections. Spring 2027: schedule not out yet.

Computational optimization methodologies underlying portfolio problems in finance. Computational linear algebra, determining derivatives, quadratic, and nonlinear optimization. The efficient frontier problem. Applications of optimization in finance such as volatility surface determination and global minimization for value-at-risk.

Prerequisites

  • Complete all of the following
    • Must have completed at least 1 of the following:
      • MATH235 - Linear Algebra 2 for Honours Mathematics (0.50)
      • MATH245 - Linear Algebra 2 (Advanced Level) (0.50)
    • Complete 1 of the following
      • Must have completed at least 1 of the following:
        • ACTSC291 - Global Capital Markets and Financial Analytics (0.50)
        • ACTSC372 - Investment Science and Corporate Finance (0.50)
        • AFM272 - Global Capital Markets and Financial Analytics (0.50)
        • ECON371 - Business Finance 1 (0.50)
      • Must have completed at least 1 of the following:
    • Complete 1 of the following
      • Earned a minimum grade of 70% in each of the following:
        • CO227 - Introduction to Optimization (Non-Specialist Level) (0.50)
      • Must have completed at least 1 of the following:
        • CO250 - Introduction to Optimization (0.50)
        • CO255 - Introduction to Optimization (Advanced Level) (0.50)

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Fall 2026 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 001622763 / 96MW 14:30–15:50

Winter 2027 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 00157050 / 140MW 16:00–17:20
LEC 701220866 / 9999Online or by arrangement

Reviewed on UW Flow

70% liked it24% easy72% useful

From 23 ratings and 11 comments on UW Flow. The most helpful comments, quoted as written, without names. Read them all on UW Flow.

  • The course is a little bit disorganized, but the material is clear and easy to follow after serious studying. The whole material is built on models learned before and those notations are just scary abbreviations and if successfully translate the model, the results are pretty easy. The assignments somehow are more difficult than tests since a lot of Matlab involved in assignments. Get nearly 100 for the final but barely pass 75 in assignments. The final reused some midterm questions so reviewing is quite important for the tests.

    May 2025 · liked it · 1 found this helpfulOn UW FlowRemove this

  • matlab code in 2025, very theoretical, no application at all. Will not prepare you at all for industry practice. Would be better if went over RIDGE regression, black-litterman approach, copula-black-litterman approach. Did not go over volatility surface which was mentioned in course intro. Graded work completely unrelated to what was taught in class, midterm average was under 50. One of the worst classes I have taken at UW just from how disorganized it is.

    Mar 2025 · didn’t like it · 1 found this helpfulOn UW FlowRemove this

  • Currently taking this course for Winter 2025. The marking scheme is 25% for 5 assignments (lowest one dropped), 25% midterm, and 50% final. I'd recommend taking this course right after your introductory optimization and lin algebra courses. This course has a lot of theory and relies on concepts from optimization and lin algebra. I also recommend to attend the lectures as even though this course has a course notes, the lecture material is what's tested for the midterm (not sure about finals yet). Once you understand the topics and why we are learning certain concepts, the course may feel more interesting but keep in mind that this course is more math-heavy than finance. My prof, Henry can go…

    Feb 2025 · didn’t like it · 1 found this helpfulOn UW FlowRemove this

  • Interesting content, very easy midterm and final.

    May 2026 · liked itOn UW FlowRemove this

  • Honestly interesting material. Can be a little confusing since lecture notes is basically all theorems, but assignments do help with understanding. Exams were very fair, would recommend to take with Prof Vavasis!

    Apr 2026 · liked itOn UW FlowRemove this

Discussed on r/uwaterloo

67 posts and comments in 55 threads mention CO 372, January 2015 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 2024

Any CO course recommendations 4 points, 2 comments

u/Trollermaner: “I’m in cs and pursuing a CO minor (pause) I took CO250 this term and I enjoyed the content, I looked at CO372 and it looks pretty interesting. I’m also interested in graph theory cause of the parallel between graphs in cs. …”

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Spring 2024

Winter 2024

Fall 2023

Spring 2023

Need advice for CO372 1 point, 1 comment

u/Sufficient-Cry-1255: “As someone who is really bad at linear algebra, I am super anxious for taking CO372 which involves tons of linear algebra. Any advice for this course like what content in previous linear algebra course I should review before taking this course would be appreciated.”

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Winter 2023

do i need 60 in CO 250 to take other CO classes 2 points, 4 comments

“i haven’t found any on uwflow that specify that a 60 is needed but i just wanted to make sure from people who have taken the class in the past, thanks!”

u/djao: “Many upper level CO courses require an 80 CAV as a prerequisite. This isn't directly related to CO 250, but odds are if you're getting 60s in CO 250 then you're not gonna make the CAV 80 cutoff.”

u/Present-Witness6433: “The only other CO course that’s mandatory for my degree is CO 372, does the CAV 80 apply to that?”

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Mathematical Finance 5 points, 4 comments

“I’m in grade 11 and was just wondering about a couple of things What’s a good average to aim for, for this program? (Is it very competitive) Is this program good for someone wanting to do quant? …”

u/Solid_Phrase: “In terms of competitiveness the program is basically hybrid pure math + stats, maybe some cs. So as long as you get in math here you can declared it as soon as you want. …”

u/Solid_Phrase: “… Also there's a CO course on portfolio management too (CO 372), the name suggests itself.”

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How to get into quant from cs ? 4 points, 12 comments

“I'm a double major in stats and CS I did a couple of swe internships, but I'm getting bored of SWE work. I'm interested in finance. What's the path for me towards quant research or trading ? …”

u/Comprehensive_Try182: “Watch coding Jesus on YouTube and read the books he recommends. Maybe take CO 372”

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Check it elsewhere for Fall 2026

Calendar versions

Undergraduate Calendar