Marcell Frisch
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Latest activity by Marcell Frisch
Marcell Frisch commented,
Dear Eli Towle, The code works perfectly for my basic cases but when I try to run it for 843 assets it runs for a very long time and I get this error message: Explored 5308982 nodes (64204304 simpl...

Marcell Frisch commented,
Dear David, So if I understand correctly I should just put this part: z = model.addMVar(mu.size, vtype=GRB.BINARY, name="z") # Variable ysum equal to sum of y variables ysum = model.addMVar(shape=...

Marcell Frisch commented,
Hi David, The problem is I have 482 assets and I have these constraints :how many assets should be in the portfolio,how much should be the minimum and the maximum weight can be assigned to one ass...

Marcell Frisch created a post,
Formulating Sharpe Ratio Objective Function in Gurobi
OngoingDear Gurobi Community, I am currently working on a portfolio optimization problem using Gurobi and encountered a challenge in formulating the objective function to optimize the Sharpe Ratio more pr...