Questions tagged [finance]

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2 votes
2 answers
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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 ...
janicebaratheon's user avatar
1 vote
2 answers
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 ...
Josh Smith's user avatar
1 vote
0 answers
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 ...
jbuddy_13's user avatar
  • 551
1 vote
0 answers
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, ...
stevew's user avatar
  • 119
3 votes
1 answer
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\...
Paolo Baudissone's user avatar
1 vote
1 answer
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}\\&...
Paolo Baudissone's user avatar
11 votes
2 answers
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, ...
Skander H.'s user avatar
  • 2,139
13 votes
3 answers
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 ...
Dave's user avatar
  • 233
15 votes
4 answers
885 views

Optimization models for portfolio optimization

What are the mainstream models for portfolio optimization? We have Markowitz mean-variance model and CVaR-based models (e.g., max return subject to a CVaR constraint). What else is out there in terms ...
Daniel Duque's user avatar
  • 1,355