Table of contents

The course is connected to the following study programs

Teaching language

English

Prerequisites

ME-431 Quantitative Methods in Finance and BE-421 Investments or equivalent

Learning outcomes

Upon completion of this course the student should be able to

  • use the open-source R-programming language to retrieve, process and plot data.
  • compute and analyze financial asset return and covariance matrices.
  • design various portfolio optimization problems such as mean-variance and use the Black-Litterman model.
  • design various constraints that portfolio managers meet in practice.
  • solve the portfolio optimization problem using R to find the optimal portfolio for a given optimization problem and given constraints.
  • solve portfolio optimization problems both theoretically/mathematically and practically using R.
  • understand some numerical techniques needed to solve arising problems.

Contents

The aim of this course is to provide understanding about how investment portfolios should be diversified to control risk. This is in accordance with SDG # 8 (Decent work and economic growth). Portfolio managers who try to diversify their portfolio and simultaneously incorporate their market views, will often experience that this task is far from trivial. In this course we will study the various constraints portfolio managers typically meet. We will study how we can make R-programs that find the optimal portfolios where both the market views from analysts, the chosen diversification and the constraints are fulfilled.

Teaching and learning methods

The course consists of lectures, group-work sessions and assignment. Estimated workload is about 200 hours.

Examination requirements

Approved mandatory assignment. More information will be given in Canvas at the start of the semester.

Examinations

The examination is a term paper handed in by groups of two to three students. The grade is given to the group as a whole. Assessment expression: letter grade, A-F. More details will be available in Canvas.

Student evaluation

Course evaluation in accordance with the quality system for education, chapter 4.1.

Reduction of Credits

This course’s contents overlap with the following courses. A reduction of credits will occur if one of these courses is taken in addition:

Course Reduction of Credits
BE-506 – Computational Finance and Portfolio Mangement. 5
Last updated from FS (Felles studentsystem) Oct. 15, 2026 6:26:35 AM