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^TΣx

subject to:

r^Tx ≥ ρ
x₁+x₂ + … x₈ = 1
p x-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.