https://github.com/lueasf/aco
Applied Convex Optimization with CVXPY, Gurobipy and LSM.
https://github.com/lueasf/aco
cvxpy gurobipy lp lsm optimization portfolio slsqp
Last synced: 7 months ago
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Applied Convex Optimization with CVXPY, Gurobipy and LSM.
- Host: GitHub
- URL: https://github.com/lueasf/aco
- Owner: lueasf
- Created: 2025-03-29T16:23:17.000Z (10 months ago)
- Default Branch: main
- Last Pushed: 2025-05-26T01:40:46.000Z (8 months ago)
- Last Synced: 2025-06-09T15:46:50.831Z (7 months ago)
- Topics: cvxpy, gurobipy, lp, lsm, optimization, portfolio, slsqp
- Language: Python
- Homepage:
- Size: 106 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
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Metadata Files:
- Readme: README.md
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README
# Geometric Optimization with CVXPY and ECOS
This project demonstrates how to solve geometric optimization problems using convex programming.
> It finds the extreme point of a convex shape (ex diamond) that maximizes projection along a specified direction.
## ECOS
ECOS (Embedded Conic Solver) is an open-source solver, designed for SOCP (Second Order Cone Programming) and SDP (Semidefinite Programming).
### Phase 3
A & B : SLSQP \\
C & D : Log-barrier method with warm start \\
F & G : Realist version
finance :
Les poids étant tous égaux (0,25), chaque actif contribue de façon à peu près identique (environ 7 % de la volatilité totale), ce qui confirme qu’on a bien atteint l’objectif d’un portefeuille « risk parity ».