cardinality-constraint#

Portfolio Optimization: Factor Model#

Notebooks > Portfolio Optimization: Factor Model
portfolio_factor_model.ipynb Open In Colab Open In Deepnote Open In Kaggle Open In Gradient Open In SageMaker Studio Lab
Description: Mean-Variance Portfolio Optimization model where the risk estimator is not given explicitly but is instead represented by a factor model, as is common in US equity models [1]. The original notebook is [3].
Tags: finance, portfolio-optimization, mean-variance, factor-model, ampl-conditonal-instantiation, cardinality-constraint
Author: Gleb Belov (9 notebooks) <gleb@ampl.com>