Portfolio Optimization: A Technical Perspective - GAMS

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24 24 Current Developments New language elements : - Special expressions and conventions for stages and scenario trees - Random distributions for some problem data - Support of scenario reduction techniques dramatically reduces the size of deterministic equivalent - Automatic translation of problem description into format for various SP-solvers (DECIS, SPLINE…) - Support for parallel optimization But: - Different approaches - Not yet clear which standards will be adopted
25 25 More Theory and Templates Theory Templates available online • Practical Financial Optimization (forthcoming) by S. Zenios • A Library of Financial Optimization Models (forthcoming) by A. Consiglio, S. Nielsen, H. Vladimirou and S. Zenios • Financial Optimization by S. Zenios (ed.) • GAMS Model Library: http://www.gams.com/modlib/libhtml/subindx.htm • Course Notes „Financial Optimization“: http://www.gams.com/docs/contributed/financial/
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 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: 23 23 Challenges Deterministic equi
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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