This repository contains the mixed integer linear programming model to find the optimal portfolio for risk averse and risk neutral person given return data and constraints of risk, returns, number of asset products to choose and number of asset product classes to chose.
Mixed Interger Programming Model has been programmed in Excel Solver.
Reposiory Information
R Codes for Data Cleaning and Analysis - folder which contains r files which make the data ready for input into excel files for analysis
data - datasets of the problem
guidelines - competition guidelines in PDF formates
Modeling Strategy and Analysis .pdf/pptx - Presentation which outlines the strategy for modeling and contains the results.
Mixed Integer Programming Model - Excel files which models contraints and gives the products choosen and their weights.