Portfolio Optimization: A Technical Perspective - GAMS

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10 10 Agenda Introduction Introduction Mathematical Optimization in Finance An illustrative Example: The Mean Variance Model Advanced Portfolio Optimization Models Grid Computing
11 11 MV Model Algebra Variance of Portfolio Target return Budget constraint No short sales ∑∑ Min i= 1 j= 1 I I ∑ i= 1 J i x s. t. µ x I ∑ i= 1 xi xi ≥ i i Q ≥ = 1 0 i, j r x j
Page 1 and 2: 1 1 Portfolio Optimization: A Techn
Page 3 and 4: 3 3 Agenda Introduction Mathematica
Page 5 and 6: 5 5 Agenda Introduction Mathematica
Page 7 and 8: 7 7 Portfolio Optimization Models -
Page 9: 9 9 Modeling Approaches - Programmi
Page 13 and 14: 13 13 Modeling Issues Basic MV-Mode
Page 15 and 16: 15 15 More Complex Business Rules R
Page 17 and 18: 17 17 GAMS Formulation Variables xi
Page 19 and 20: 19 19 Efficient Frontier and Portfo
Page 21 and 22: 21 21 Stochastic Programming (SP) S
Page 23 and 24: 23 23 Challenges Deterministic equi
Page 25 and 26: 25 25 More Theory and Templates The
Page 27 and 28: 27 27 Grid Computing loop(pp, #calc
Page 29 and 30: 29 29 Advantages of Grid Computing
Page 31 and 32: 31 31 Simple Serial Solve Loop Loop
Page 33 and 34: 33 33 Results for 4096 MIPS on Cond
Page 35 and 36: 35 35 The End Thank you! … Questi

Portfolio Optimization: A Technical Perspective - GAMS

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