Porftolio
| Linear Programming | |
|---|---|
 | |
| MATH340 | |
| Section: | 921 |
| Instructor: | Tali Pinksky |
| Email: | tali@math.ubc.ca |
| Office: | Math 229a |
| Office Hours: | Wed 1-2 pm or by appointment |
| Class Schedule: | Tue-Thu-Fri 2-4 pm, Wed 2-3 pm |
| Classroom: | Math Annex 1100 |
| Important Course Pages | |
| Resources | |
| Assignments | |
| Discussion | |
| Projects | |
What is the best way to choose products to invest in to
a) maximize profit
b) minimize risk
A good source is chapter 13 in Venderbei's book, see also this presentation he gave on the subject.
Another nice presentation is this one.
The first goal in the project is to see how to formulate this as a linear programming problem. One very easy way of doing this can be found in page 67 of this. You can use this as your toy model (even with only 3 or four options) as something you can solve by hand, and write out the solution and meaning of the dual problem (also by hand).
As a second part of the project, either go on to compute an actual portfolio out of a selection of products such as (part of those) in these options from TD bank, which have a risk already estimated by someone else, or discuss different risk models and the advantages and disadvantages of linear vs. quadratic, or present the solution for a quadratic programming problem if you take the quadratic risk on the toy model above.
Teams
Group 1: Kyle Bower, Michael Moritsugu, Tochi Okeke. Reet Sangha, Xiaotian Luo
Group 2: Stephanie Mrakovich, Madison Walsh, Julia Johnson
Group 3: Qi Qi, Yonnie Wai, Ming yin, Raymond Li
Group 4: Justin Wyss, Mary Aquilizan, Aneesh Jaydeep, Tahmid Chowdhury
Group 5: Xiaoyue Zhang, Yilin Wang, Chan Tsan Ting, KiHye Koo
Group 6: Yuan Feng, Tianwen Hu, Annie Yip, Yuzhang Wang