/optfolio

This is the repo for the project in Combinatorial Decision Making and Optimization at @unibo: optimizing a stock portofolio by using linear and quadratic optimization functions.

Primary LanguagePythonApache License 2.0Apache-2.0

Optfolio

This is the repository for the 2nd module of the Combinatorial and Decision Making course. It aims to solve two simple optimization problems:

  • one with a linear utility function that aims to maximize the expcted return, solved by using a simplex algorithm,
  • one with a quadratic utility function which aims to minimize the risk associated, solved by using a quadratic programming implementation of a variant of the interior-point algorithm, for the theory see [Numerical Optimization, Wright, 2006].