About this document
IEOR E4007 Homework #6 Solutions by KiKi Chen is a document available to read on EtoBox.
The document describes three optimization problems: 1) An integer programming problem to maximize x1 + 2x2 with constraints on x1 and x2. It formulates this as a binary integer program and discusses solving it in Excel and Python. 2) A portfolio rebalancing problem with transaction costs that is formulated as a linear program by introducing auxiliary variables to represent the absolute values and transaction costs. 3) A mean-VaR portfolio selection problem with constraints on portfolio weights and a risk
- Author
- KiKi Chen
- Language
- EN