General information

Competencies: The course gives an introduction to the domain of practical financial risk and portfolio management. Participants will work with problem areas that can be attacked using optimization models.

Skills: Participants will be trained in quantitative evaluation of risk-return trade-offs, and learn how to model, solve, and document large, practical problems.

The course also gives an introduction to the programming language GAMS (General Algebraic Modelling Systems), which will be used extensively in all the cases and examples.

Participants who have followed the course will be able to formulate and solve optimization problems in GAMS in particular within the following areas:

• Measuring and managing return and risk trade offs
• Adding practical constraints to financial optimization problems
• Immunization and dedication of a bond portfolio
• Modelling Value at Risk and Conditional Value at Risk
• Back-testing results of ex-ante optimization

Accommodation

Please note that the summer courses are non-residential. Participants are responsible for finding and funding accommodation during their stay in Copenhagen.

You can use different online portals to search for accommodation, such as:

Airbnb
Danhostel
Hostel World

UCPH Housing Foundation (acceptance letter from UCPH required).

Registration

https://www.science.ku.dk/english/courses-and-programmes/other-study-opp...

ECTS accreditation

Master level

7,5 ECTS