### Mixed Integer Nonlinear Optimization: h02da

This demonstration optimizes a portfolio selection of *p*
assets from eight available assets with a return of at least *ρ*

Specifically, minimize:

x^{T}Σx

subject to:

r^{T}x≥ρ

x_{1}+x_{2}+ …x_{8}= 1

px-values ≥ 0

where *r* is the mean of returns and Σ is their covariance matrix.

The maximum number of iterations of the optimizer and the requested accuracy can be controlled by the parameters **maxit** and **acc** respectively.

After a successful optimization column labels in the table are colour coded as follows

- red: excluded from the portfolio
- green: included in the portfolio

Holding proportions *x* are displayed in blue in the last row.