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Optimization's place in quant fin.

MikeLawrence

MikeLawrence

C++ Certificate with Distinction
Joined
2/14/23
Messages
563
Points
223
What place does optimization have in quantitative finance, practically.

I'd assume portfolio optimization, for some parameters, but what techniques are important? I'm not at a place where I'm going to be learning this much, I'm just interested.

Optimal control? Transport? These terms don't mean much to me, but I'd like to procrastinate by learning some surface level things.

Can anyone give me a fun lay-of-the-land?
 
Daniel Duffy said:
Optimisation is soo important


“Nothing takes place in the world whose meaning is not that of some maximum or minimum.”
― Leonhard Euler
Click to expand...
I still have no internship this summer, and your ANM course is still top of the list on things to tackle. I'll keep you updated, obviously, but good chance I take it on.

Also on base:
Refresh the stuff in Axlers Linear Algebra done right
Refresh Classical Statistical Inference
Learn Python so I don't get given another technical interview I can't pass...

Odds are only 2, maybe part of 3, of these get done before the start of the fall term. If I want to do them right.
 
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