Free Trial

This model is an example of the classic Markowitz portfolio selection optimization model. We want to find the fraction of the portfolio to invest among a set of stocks that balances risk and return. It is a Quadratic Programming (QP) model with vector and matrix data for returns and risk, respectively. This is best suited to a matrix formulation, so we use the Gurobi Python matrix interface. The basic model is fairly simple, so we also solve it parametrically to find the efficient frontier.

Access the Jupyter Notebook Modeling Example

Click on the button below to access the example in Google Colab, which is a free, online Jupyter Notebook environment that allows you to write and execute Python code through your browser. 

Portfolio Selection Optimization

How to Run the Jupyter Notebook Modeling Example

  • To run the example the first time, choose “Runtime” and then click “Run all”.
  • All the cells in the Jupyter Notebook will be executed.
  • The example will install the gurobipy package, which includes a limited Gurobi license that allows you to solve small models.
  • You can also modify and re-run individual cells.
  • For subsequent runs, choose “Runtime” and click “on “Restart and run all”.
  • The Gurobi Optimizer will find the optimal solution of the modeling example.

Check out the Colab Getting Started Guide for full details on how to use Colab Notebooks as well as create your own.

GUROBI NEWSLETTER

Latest news and releases

Subscribe
Linkedin Youtube Rss
Also of Interest:
Legal Notices:    Standard EULA   |    Cloud EULA    |   AMPL EULA   |   Cloud SLA   |   WLS SLA
Cookie Settings     |     Privacy Policy     |     © Gurobi Optimization, LLC. All Rights Reserved.

Try Gurobi for Free

Choose the evaluation license that fits you best, and start working with our Expert Team for technical guidance and support.

Evaluation License
Get a free, full-featured license of the Gurobi Optimizer to experience the performance, support, benchmarking and tuning services we provide as part of our product offering.
Get Free Trial!
Academic License
Gurobi supports the teaching and use of optimization within academic institutions. We offer free, full-featured copies of Gurobi for use in class, and for research.
Get Free Trial!
Cloud Trial

Request free trial hours, so you can see how quickly and easily a model can be solved on the cloud.

Get Free Trial!

Search

Looking for documentation?

RSS Feeds

News
Copy to Clipboard
Events
Copy to Clipboard
Resources
Copy to Clipboard
Jupyter Models
Copy to Clipboard
Case Studies
Copy to Clipboard
FAQs
Copy to Clipboard
Industries
Copy to Clipboard
Features
Copy to Clipboard