11 Case Studies¶
In this section we present some case studies in which the Optimization Toolbox for MATLAB is used to solve real-life applications. These examples involve some more advanced modeling skills and possibly some input data. The user is strongly recommended to first read the basic tutorials of Sec. 6 (Optimization Tutorials) before going through these advanced case studies.
Keywords: Markowitz model, variance, risk, efficient frontier, transaction cost, market impact cost, cardinality constraints
Type: Conic Quadratic, Power Cone, Mixed-Integer
Keywords: Least squares, regression, 2-norm, 1-norm, p-norm, ridge, lasso
Type: Conic Quadratic, Power Cone
Keywords: Robust optimization, ellipsoidal uncertainty
Type: Conic Quadratic