Multi-Objective Investment Portfolio Optimization
This project focuses on optimizing a portfolio of assets while adhering to trading constraints and balancing the number of trades required.
Ce Luo
Open Avenues Foundation
Thursdays at 3:00 P.M. ET / 12:00 P.M. PT
8 weeks, 2-3 hours per weekDescription
In this Build Project, you will take on the role of a quantitative analyst navigating the trade-offs between risk-adjusted returns and operational cost in real-world investment management. You will explore mixed integer portfolio optimization problems that balance investment goals with constraints on trading activity. Using simulated asset data, you will develop and apply a dual-objective optimization strategy to allocate investments effectively under real-world limitations. Throughout the project, you'll gain hands-on experience with factor models and optimization techniques, and create a Python notebook that solves the
Application timeline
What you will learn
- Understand the factor model structure in the portfolio construction process.
- Understand the integer constraint in real-world portfolio optimization.
- Mathematically formulate the mixed integer quadratic portfolio optimization problem.
- Use Python to numerically solve the multi-objective mixed integer optimization problem to build an efficient frontier.
Project workshops
Prerequisites
- Basic understanding of statistics and probability, including concepts like mean and variance of random variables.
- Basic knowledge of linear algebra, particularly matrix operations such as inversion.
- Intermediate-level Python skills with some experience using Pandas and other computational libraries.
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About the Fellow
Ce Luo
Open Avenues FoundationCe Luo is a Finance Build Fellow at Open Avenues, where he works with students leading projects in portfolio optimization. Ce is an Investment Processes Senior Associate at Arrowstreet Capital, where he focuses on automating investment decision-making and analyzing the resulting portfolio. Ce has over 3 years of experience in the quantitative investment management field. He holds a Master of Finance. A fun fact about Ce is that he plays Chinese bamboo flute.