This is the App page of ODMO program for Stock trading portfolio.

Here is an example of stock portfolio trading model of ODMO PROGRAM. Our target is to minimize portfolio risk under desired return constraint and investment budget.

$${ \underset{\pmb{x}}{min} \quad \pmb{x}^T \pmb{Q} \pmb{x} }$$ $${ s.t. \quad \pmb{r}^T \pmb{x} \geq \bar{r} }$$ $${ \ \ \qquad \sum_{i=1}^{n} x_i \leq C }$$ $${ \ \ \qquad 0 \leq x_i, \forall i }$$ where $${ \pmb{x} \text{: n-vector of decision variables}, \pmb{Q} \text{: nxn covariance matrix, } \pmb{r} \text{: n-vector return rates, } \bar{r} \text{: desired return of money, } C \text{: investment budget}. }$$

In this example, the model parameters are the investment budget of ${C} , the desired return ${Re} . We consider 3 stocks (n=3) with the historical statistics of stock price data in 6-months.
Please [SET] the [INPUT] values below to describe your problem.

I. Stock price data ($)
Month stock 1 stock 2 stock 3
First month
Second month
Third month
Fourth month
Fifth month
Sixth month

Input value of investment budget: $
Input value of desired return: $

[CLICK] here to solve the optimization problem

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