Lagrangian

We spent about an hour of our last financial modeling course lecture on Lagrangian used in optimization of portfolios. I thought it was a little too much on this subject. I forgot what is Lagrangian, but after a while I figured that we studied it in our mathematical analysis class many years ago. I think that we might as well skip the whole multivariate optimization topic and leave it for self-study. It has not much to do with finance, just one of the mathematical methods. If someone doesn't know it, s/he can spend a few hours to study it after the class. Anyways, if you are in MSc in Finance program, it will be needed some day.