Issues modeling portfolio optimization with rebalancing in gurobipy

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  • Official comment
    Matthias Miltenberger

    Hi Paolo,

    There are 11 constraints of the form

    x * y >= 0.02
    

    with y being a binary variable, effectively forcing all these binaries to 1 to satisfy the constraints.
    Then there is the first constraint:

    y_1 + ... + y_11 <= 10
    

    This can never be satisfied if all 11 y variables have to be 1.

    Cheers,
    Matthias

    crosspost on or.stackexchange.com

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  • Paolo Baudissone

    Thanks a lot Matthias!

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