Portfolio optimization is the process of finding the best portfolio allocation in terms of risk/reward profile of the investment. When planning personal finance strategies, financial institutions use a questionnaire to assess which products, services, and operations are best suited to their clients’ needs.
The objective of this process is to place the investor in a suitable category, which depends on matters such as risk, the objective of the investment, and the client’s knowledge of the market. Simultaneously, banks classify their funds into categories based on market and credit risks. Banks then propose a portfolio that maximizes the adequacy of the investments for the client’s profile, the reward of the portfolio, and to minimize the portfolio risk.
The authors propose a multi-step procedure for personal investment portfolio selection in private banking, combining fuzzy decision-making and optimization-based approaches.
The efficiency of Artelys Knitro is exploited within this procedure, allowing to consider simultaneously regulation issues, and investors’ objectives and preferences.
Start with a tutorial!
You’re not familiar with nonlinear optimization? This tutorial will present some examples of nonlinear problems for various applications. You will discover nonlinear programming methods using the Artelys Knitro solver in a Python notebook, through different examples.
Get your trial license to test Artelys Knitro’s performances on your own mathematical optimization problem. The trial package includes free support and maintenance. You can have access to Artelys Knitro for free with a 1-month unlimited version or a 6-month limited version.
Artelys Knitro has unmatched performance
Best Nonlinear Solver
Artelys Knitro has been ranked every year by public benchmarks consistently showing Artelys Knitro finds both feasible and proven optimal solutions faster than competing solvers.
The Artelys technical support team comprises Artelys’consultants (PhD-level) who are used to solving the most difficult problems and deploying enterprise-wide optimization solutions. They can advise on algorithmic or software features that may result in enhanced performance in your usage of Artelys Knitro.
Updates and new features
The development team works continuously to provide two releases of Artelys Knitro every year. Based on feedback, we always improve our solver to meet users’ requirements and need to solve larger models faster.