Portfolio Optimization: A Technical Perspective - GAMS

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14 14 Business Rules - Institutional or legal requirements - Additional constraints, which have to be satisfied - Trading restrictions - Not defined by modeling experts - Independent of risk model Simple business rules: Do not change the model type: - Short selling - Risk free borrowing - Upper or lower bounds on certain instruments
15 15 More Complex Business Rules Require introduction of integer (binary) variables: – Cardinality Constraint: Restrict number of investments y i in portfolio – Threshold Constraint: Investments x i can only be purchased at certain minimum l l,i or maximum l u,I – more trading restrictions …
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 and 10: 9 9 Modeling Approaches - Programmi
Page 11 and 12: 11 11 MV Model Algebra Variance of
Page 13: 13 13 Modeling Issues Basic MV-Mode
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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