Multi-Objective Investment Portfolio Optimization

Ce Luo

Finance Fellow

Open Avenues Foundation

Thursdays at 3:00 P.M. ET / 12:00 P.M. PT

8 weeks, 2-3 hours per week

IntermediateSome experience recommended

Description

Application timeline

Applications openApril 14, 2025

Applications deadlineMay 8, 2025

Application results releasedWeek of May 26, 2025

Project start dateWeek of June 9, 2025

Project end dateWeek of July 28, 2025

What you will learn

Project workshops

Prerequisites

Apply Now!

Ready to start this exciting project? Submit your application today and begin your journey with Build!

About the Fellows

Ce Luo

Finance Fellow

Open Avenues Foundation

Ce 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.

Multi-Objective Investment Portfolio Optimization

Ce Luo

Description

Application timeline

What you will learn

Project workshops

1Introduction to Quantitative Investment Management and Factor Models

2Introduction to Portfolio Optimization and Integer Constraint

3Diving into Portfolio Optimization Objectives

4Defining and Building the Mathematical Model

5Implementing and Solving the Mixed-Integer Optimization in Python

6Constructing and Interpreting the Efficient Frontier with Respect to Trading Limit

7Refining Results and Analyzing Trade-Offs

8Deliverable Demonstration and Discussion

Prerequisites

Apply Now!

About the Fellows

Ce Luo