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Optimization for Finance with R

David Smith's picture

Last year, the Statistics and Mathematics Department of the Vienna University School of Economics and Business presented a research seminar series on optimization, taught by R Core Group member Kurt Hornik (with Ronald Hochreiter and Stefan Theussl). Even if you couldn't make it to Austria to attend the course, the course materials are available online, and make an excellent educational tool for anyone who wants to learn the theory behind the various optimization methods in R.

The course covers Stochastic Programming, Optimization Methods in Finance (Quadratic and Integer Programming and Linear and Nonlinear Programming), Sparse Principal Components Analysis, and Kernel-Based Learning. There is also includes an introduction to the new ROI (R Optimization Infrastructure) package, which provides a unified interface to the many solvers available in R. Course slides (in English), R code and example data are all available at the course website linked below.

WU Statistics and Mathematics: Research Seminar: Optimization