Description: Basics of numerical optimization: problem formulation, conditions of optimality, search direction and step length. Calculus-based techniques for univariate and multivariate optimization.

A thorough understanding of Linear Algebra and Vector Calculus, and strong familiarity with the Python programming language (e.g., basic data manipulation libraries, how to construct functions and ...

This is a preview. Log in through your library . Abstract We apply conjugate duality to establish the existence of optimal portfolios in an assetallocation problem, with the goal of minimizing the ...