Gurobi showcases its advanced optimization technology to the quantitative finance community, highlighting how mathematical optimization powers smarter portfolio construction, risk management, and data-driven investment strategies.
📍 Visit Our Booth: Meet our experts and see how Gurobi’s powerful mathematical optimization solver can enhance your financial models.
🎤 Don’t Miss Our Speaking Session: Dr. Silke Horn will share insights on Portfolio optimization and backtesting with discrete constraints.
Multi-Period Portfolio Optimization with Discrete Decisions
Portfolio decisions are made repeatedly — and each rebalancing is subject to transaction costs, turnover limits, and discrete asset selection constraints that affect future flexibility. Capturing these effects requires moving beyond single-period models to multi-period optimization.
In this session, we demonstrate how multi-period portfolio problems can be formulated and solved as mixed-integer optimization models using Gurobi. We show how to model position dynamics across time, incorporate realistic discrete features such as cardinality constraints, transaction costs, and minimum trade sizes, and account for how these decisions interact across rebalancing periods in a backtesting setting.
Because backtesting requires solving many related optimization problems, solver performance becomes a key practical consideration. We also share modeling best practices and practical insights for scaling multi-period mixed-integer models efficiently.
🌎 Location: New York Marriott, Brooklyn Bridge
Senior Director of Optimization R&D
Gurobi Optimization
Senior Director of Optimization R&D
Gurobi Optimization
Dr. Luce is an experienced researcher in applied mathematics, and author of numerous publications in the fields of numerical linear algebra and optimization. He holds a Ph.D. from Technical University of Berlin.
Senior Optimization Engineer
Gurobi Optimization
Senior Optimization Engineer
Gurobi Optimization
Dr. Silke Horn is a Mathematical Optimization QA Engineer with the Gurobi Optimizer team. She began her journey at Gurobi in 2018 in the technical support team and transitioned to R&D in 2024. She holds a Ph.D. in Mathematics from TU Darmstadt (Germany) and has many years of experience in academic teaching and software development.
Senior Enterprise Account Director
Gurobi Optimization
Senior Enterprise Account Director
Gurobi Optimization
With more than 35 years of sales and sales management experience in the high tech industry, Ms. Pesanelli is responsible for driving Gurobi’s sales execution. Ms. Pesanelli has been with Gurobi since the beginning and has been a key contributor to the company’s outstanding growth. Before Gurobi, she was Sales Director at Permabit Technology Corporation, a manufacturer of disk-based enterprise archive solutions. Prior to Permabit, Ms. Pesanelli held various sales and sales management positions at ILOG, Inc. from January 2000 to September 2008. Selling ILOG’s Business Rule Management System and CPLEX Optimization product lines, Ms. Pesanelli consistently exceeded sales expectations and was a top performer worldwide. Ms. Pesanelli holds a Bachelor of Science degree from the University of Massachusetts at Amherst. She lives in Boston and enjoys spending time on Cape Cod.
Account Executive
Gurobi
Account Executive
Gurobi
Fabrizio is a California native who earned his Bachelor's degree in Marketing from the University of San Diego. After graduating, he moved to New York City and pursued a career in sales. Fabrizio brings several years of experience with SaaS companies. Prior to Gurobi he sold customer experience software for industry leading firms. Outside of work Fabrizio is very passionate about film and spends way too much time watching old movies on TCM.
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