# Questions tagged [finance]

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### use case OR in financial service industry

What are some use cases, with high dollar value impact, of OR and optimization in the financial services industry like life insurance, annuity business? I have seen common use cases of queuing theory ...
1 vote
347 views

### PuLp is ignoring all of the constraints given to it

I am trying to solve a portfolio optimization problem using PuLP where given a dictionary of stock tickers and their returns for the day, returns a set of weights for each stock such that portfolio ...
1 vote
143 views

### How can mixed integer linear programming be used to optimize portfolio allocations?

I’m curious if MILP can be used to optimize portfolio allocations and what inputs, outputs, variables, constraints and objectives are relevant. For example, is a stock’s average price and variance of ...
• 551
1 vote
354 views

### Minimum trade size in CVXPY

I'm trying to replicate some of the suggestions of this paper. On page 40-41, it's made the following suggestion when it comes to enforcing a minimum trade size: In this context, ...
• 119
497 views

### Portfolio optimization with indicator function constraint in CVXPY

I have the following portfolio optimization problem that I want to solve using CVXPY: \begin{align}\min_w&\quad w^\top\Pi\\\text{s.t.}&\quad\sum_{i=1}^nw_i=1\\&\quad w^\top\Sigma w\le\...
1 vote
169 views

### Issues modeling portfolio optimization with rebalancing in gurobipy

I want to solve the following portfolio optimization problem by means of the Python API of Gurobi: \begin{align}\max_w&\quad w^\top\Pi\\\text{s.t.}&\quad w^\top\Sigma w=\sigma^{\rm target}\\&...
99 views

### In portfolio optimization, how do we estimate the variance of a new asset?

Say I want to do Portfolio Optimization using the mean-variance approach (i.e Markowitz model), but that some of my assets are new with no returns history. I can use a judgmental (expert knowledge, ...
• 2,139
1k views

### Allocating credit card points

I’m interested in the idea behind this in general, so I thought this would be the best place to post, though I have a practical and semi-urgent need of allocating the points on my credit card towards ...
• 233