ISyE SEMINAR SERIES - From model to an optimization based investment system

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To implement an optimization based investment system for a derivative
portfolio several components are necessary. We will take a look at the components that was used to implement OptRet. Topics that we will cover are choice of objective function, optimization model, modeling language, solver, interface and preliminary results. A brief overview of the interior point solver and its properties will be given. We will discuss two versions of a new modeling language. The earlier version
has syntax similar to AMPL, with extensions to stochastic programming, and the later version will be a general open source modeling language with similar flexibility as AMPL.


  • Workflow Status: Published
  • Created By: Barbara Christopher
  • Created: 10/08/2010
  • Modified By: Fletcher Moore
  • Modified: 10/07/2016


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