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Faster Portfolio Optimization Compared to Other Commercial Solvers
Mathematical optimization is a well-established, essential technological tool in the financial services industry. For over 50 years, mathematical optimization technologies have been used by leading companies across the financial services ecosystem (including institutional and consumer banks, wealth management firms, hedge funds, insurance providers, and fintech players) to:
Gurobi delivers blazing speeds and advanced features—backed by brilliant innovators and expert support.
Gurobi’s powerful MIP algorithm allows you to add complexity to your model to better represent the real world, and still solve your model within the available time.
Our development team includes the brightest minds in decision-intelligence technology--and they're continually raising the bar in terms of solver speed and functionality.
Our PhD-level experts are here when you need them—ready to provide comprehensive guidance and technical support. They bring deep expertise in working with commercial models and are there to assist you throughout the process of implementing and using Gurobi.
Dive deep into sample models, built with our Python API.
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.
Learn MoreMathematical optimization uses the power of math to find the best possible solution to a complex, real-life problem. You input the details of your problem—the goals you want to achieve, the limitations you’re facing, and the variables you control—and the mathematical optimization solver will calculate your optimal set of decisions.
85% of the world’s leading companies use mathematical optimization to make optimal business decisions. For example, Air France uses it to build the most efficient schedule for its entire fleet, in order to save on fuel and operational costs, while reducing delay propagation.
Descriptive and predictive analytics show you what has happened in the past, why it happened, and what’s likely to happen next. But to decide what to do with that information, you need human input—which can introduce bias.
With mathematical optimization, you receive a decision recommendation based on your goals, constraints, and variables alone. You can, of course, involve human input when it comes to whether or not to act on that recommendation. Or you can bypass human input altogether and automate your decision-making.
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