Portfolio Optimization

Portfolio Optimization Project for the course "Computational Economics" in the WS 18/19

Contribution:

Coding an implementation of the NSGA-II Evolutionary Algorithm for multi-objective optimization problems
Introducing the concepts of Robustness Type I and II to the problem

Getting Started

Clone the project and install the requirements (requirements.txt).

The execution requires a running Gurobi installation.

Sven Köpke

Distributed under the GNU General Public License

Name		Name	Last commit message	Last commit date
Latest commit History 53 Commits
Data.xlsx		Data.xlsx
Functions.py		Functions.py
Main.py		Main.py
NSGA_2.py		NSGA_2.py
Portfolio.py		Portfolio.py
Solver.py		Solver.py
config.py		config.py
readme.md		readme.md
requirements.txt		requirements.txt