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mixed-integer-optimization

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This repository contains the code examples of the book "Einführung in Optimierungsmodelle" ("Introduction to Optimization Models") (Sudermann-Merx, 2023)

  • Updated Mar 13, 2025
  • Python

This project addresses the real-world portfolio optimization problem, going beyond classical mean-variance models. Actual portfolio construction involves discrete investment decisions, transaction costs, and monitoring constraints, making the problem a Mixed-Integer Optimization (MIO) challenge that is computationally intractable at scale

  • Updated Oct 7, 2025
  • Python

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