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Gurobi Finance
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Gurobi Finance

Contents:

  • Mean-Variance Portfolio Optimization
    • Mean-Variance Data Preparation
    • Maximizing Return
    • Minimizing Variance
    • Maximizing Utility
    • Factor Model as Objective
    • Factor Model as Constraint
    • Minimum Buy-in
    • Cardinality Constraints
    • Enforcing Diversification
    • Leverage by Short-Selling
    • Leverage by Borrowing Cash
    • Limiting Turnover
    • Buying Round Lots
    • Sector Allocation
    • Investing with Transaction Costs
    • Rebalancing with Transaction Costs
    • Market Impact Costs
  • Background & further reading
  • What’s next
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