Optimization has been a cornerstone of human progress for centuries. From ancient geometric puzzles—like maximizing the area of a rectangle inscribed in a circle—to modern applications, optimization underpins advancements in physics, economics, engineering, and especially finance. It provides systematic methods for identifying the best solution among many feasible alternatives.
I am especially passionate about this subject in the MQF program at Rutgers Business School, where I have the privilege of learning from Professor Andrzej Ruszczyński. Professor Ruszczyński is internationally recognized for his expertise in nonlinear stochastic optimization and is renowned for making complex ideas accessible through clear, intuitive explanations. His engaging and detailed lectures make the study of optimization both rigorous and enjoyable.
This section explores optimization models in finance, focusing on the following key areas:
Introduction
Theoretical Foundations
- Convex Sets and Functions
- Linear Programming
- Duality in Linear Programming
- Nonlinear Programming
- Duality in Nonlinear Programming