Risk Portfolio optimization model using Gurobi Non-Linear Programming(NLP) of 2 scenarios.
1a. Formulate an NLP to devise the optimal portfolio that minimizes the portfolio risk subject to non-negative return. What are the optimal solution and value?
1b. Assume the initial allocation is 20% in each index. Changing the position requires incurring transaction costs. Formulate an NLP to find the optimal portfolio to minimize risk subject to non-negative return. What are the optimal solution and value?