Mathematics and Statistics Colloquium

Calvin University

Landon Kavlie
First Trust Portfolios

October 09, 2025
3:05pm   •   North Hall 276

Portfolio Optimization

We will discuss the practical application of mathematical optimization to portfolio allocation. We begin by exploring fundamental investment concepts and the motivation for diversification. We will then explore heuristics called “factors” that historically have driven investment returns. We will then explore ways to maximize our exposure to these heuristics using mathematical optimization. Specifically, we will see how this naturally leads to an optimization problem called “linear programming.”

No prior knowledge of finance or optimization is required. This talk is accessible to all ability levels.