There are many interesting optimization problems in finance, including: portfolio optimization, risk management, option pricing, and investment decision support.
Key features of this model:
- Description: Shows how to do portfolio optimization using CVXPY, maximizing risk-adjusted return.
- Category: Finance.
- Type: Non-linear convex.
- Library: CVXPY.
- Solver: OSQP.
Notes:
- This model is part of a convex optimization course at Stanford University.
- The notebook includes several variations of the portfolio optilization model.
GitHub: Portfolio optimization in CVXPY.
