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mohin-io / Mixed-Integer-Optimization-for-Portfolio-Selection-using-ML-Driven-Heuristics

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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

machine-learning clustering portfolio-optimization mio quantitative-finance genetic-algorithms arima garch asset-allocation risk-management financial-engineering backtesting heuristic-optimization time-series-forecasting investment-strategy quant-finance cardinality-constraints mixed-integer-optimization transaction-costs
  • Updated Oct 7, 2025
  • Python

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