Philip H. Dybvig
Washington University in Saint Louis
I have graded the written exams and grades have been entered for everyone who took the exam. Overall performance was good, better than on the homeworks. Exam grades ranged from 71 to 128, with a mean of 95.56 and a standard deviation of 18.39. Most students did well on problems 1-3, with more variation on problem 4 and the bonus problem 5. Course scores were computed as 100*(.7*(exam grade/100)+.3*(total homework grades/50)) with an upwards adjustment (to people not already getting an A+) of up to 5 points for class participation and pointing out errors. Course scores ranged from 69.5 to 113.6, with a mean of 89.36 and a standard deviation of 13.83. This table shows the distribution of course scores and the mapping into grades.
| score | letter grade | count |
|---|---|---|
| <80 | B- | 7 |
| 80.001-85 | B | 6 |
| 85.001-90 | B+ | 3 |
| 90.001-95 | A- | 1 |
| 95.001-100 | A | 1 |
| >100 | A+ | 7 |
Most of you working now or will be soon. Remember to hold yourself to a high standard. Hopefully the classes have not fostered the habit of handing in answers you know are wrong and relying on partial credit: the objective function in a work environment will not reward this approach. Report any problems, earlier rather than later. Owning up to limitations of your analysis will generate trust and respect for your work. Also, do not be too reluctant (or too quick) to ask for help.
Thanks for your patience with the glitches in this first offering of the course and for your hard work. When students are successful at learning the material, that makes me happy.
Welcome to Financial Optimization! This course introduces optimization models that are pervasive in financial theory and practice, with a focus on the tools and numerical techniques that are useful in practice.. The concepts, tools and applications promise to make this a great term!
Request for help: This is my first time teaching this material (although I have used in my research and consulting for years). I have tried to put together high quality course materials that will help you to learn efficiently, but I expect some glitches the first time they are used. Please help me to make this a good experience for everyone by notifying me promptly of any problems with the course materials or lectures. Thanks in advance.
I recommend that you print a set of slides before class for taking notes and solving in-class exercises. One set of slides corresponds to one week, except that in the first week we will cover Lecture 0 and Lecture 1.
Week 1: Course Perspectives, General Concepts, and Kuhn-Tucker conditions
...Lecture 0 pdf slides size 37K
...Lecture 1 pdf slides size 79K
...Kuhn-Tucker Conditions pdf notes size 38K
...Problem Set 1 size 44K
Week 2: Linear Programming
...Lecture 2 pdf slides size 38K
...xls Pension Asset/Liability Example size 47K
...xls Cash Mgmt Example size 48K
...Problem Set 2 size 35K
...Selected Problem Set Answers size 37K
Week 3: Duality and Fundamental Theorem of Asset Pricing
...Lecture 3 pdf slides size 89K
...Problem Set 3 size 21K
...Selected Problem Set Answers size 35K
Week 4: Solving Equations and Nonlinear Optimization: Univariate Case
...Lecture 4 pdf slides size 76K
...Problem Set 4 size 42K
...Selected Problem Set Answers size 57K
Week 5: Dynamic Programming and a Visit to the Soft Side
...Lecture 5 pdf slides size 74K
...Problem Set 5 size 16k
...Selected Problem Set Answers size 31K
Week 6: X-treme Review based on previous slides