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Year - 2020

Problems in industry and commerce often involve maximising profits or minimising costs subject to constraints arising from resource limitations. The first part of this unit looks at programming problems and their solution using the simplex algorithm; nonlinear optimisation and the Kuhn Tucker conditions. The second part of the unit deals with utility theory and modern portfolio theory. Topics covered include: pricing under the principles of expected return and expected utility; mean-variance Markowitz portfolio theory, the Capital Asset Pricing Model, log-optimal portfolios and the Kelly criterion; dynamical programming. Some understanding of probability theory including distributions and expectations is required in this part. Theory developed in lectures will be complemented by computer laboratory sessions using MATLAB. Minimal computing experience will be required.

Classes

3x1-hr lectures; 1x1-hr tutorial; and 1x1-hr computer lab/wk

Assessment

1 x2 exam (70%) , 1 x assignments (10%), 1 x quizzes (10%); 1 x computational project (10%). To pass the course at least 50% in the final exam is necessary.

Additional information

Students may enrol in both MATH2070 and MATH3075 in the same semester

Assumed knowledge

MATH1X23 or MATH1933 or MATH1X03 or MATH1907

(MATH1X21 or MATH1011 or MATH1931 or MATH1X01 or MATH1906) and (MATH1014 or MATH1X02)

ProhibitionsMATH2010 or MATH2033 or MATH2933 or MATH2970 or ECMT3510

Faculty: Science

Semester 2

03 Aug 2020

Department/School: Mathematics and Statistics Academic Operations

Study Mode: Normal (lecture/lab/tutorial) day

Census Date: 31 Aug 2020

Unit of study level: Intermediate

Credit points: 6.0

EFTSL: 0.125

Available for study abroad and exchange: Yes

Faculty/department permission required? No

Location

Camperdown

More details

Unit of Study coordinator: Prof Martin Wechslberger

HECS Band: 2

Leadership for good starts here

ABN: 15 211 513 464

CRICOS Number: 00026A

TEQSA: PRV12057