This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan
Tuesday, December 19, 2006
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.
Posted by Argyn at 7:13 PM