Events
February
2021

Online Master Info Week

Academy of Architecture, Faculty of Communication, Culture and Society, Faculty of Economics, Faculty of Informatics
February
2021

Data science and convex optimization methods for empirical finance

Executive Master in Business Administration

Start date:

End date:

This module covers recent applications of data science and optimisation methods to key questions in empirical finance. It provides a self-contained general introduction to convex optimization theory, including infinite-dimensional settings, and explains how it is used to address a number of important open issues in empirical finance, such as:

  • Real data asset allocation problems with frictions,

  • The detection of factor structures in cross-sections of assets,

  • Portfolio sorting techniques for characteristics-based return factors,

  • Model-free pricing kernels and optimal portfolios for large assets cross-sections.

We provide necessary mathematical backgrounds for understanding key notions and objects in these domains and we study interactively corresponding implementations in Python within Nuvolos (http://nuvolos.cloud).

 

For more info: summerschooldov@usi.ch