I can’t resist competitions in operations research. It brings out the competitor in me, even if it is more like ESPN and sports: I like to watch others doing the work!
AIMMS (whose software I use in class) is sponsoring their second modeling competition, in conjunction with this year’s MOPTA (Modeling and Optimization: Theory and Applications) conference. Last year’s competition was on scheduling trucks subject to maintenance requirements. This year’s competition is on creating financial portfolios that embed tax issues:
Classical models used in portfolio optimization focus on return and risk. More complicated models take into account the effect of trading costs. In this case study your team will have to develop a tool to optimize a portfolio in the presence of different tax rules.
Financial models are not really my thing, but the case looks rich and interesting. I think next year when we do the course, we might just assign the competition as the course project and see if our students can come up with a competitive result.
If anyone at CMU would like to take this on, and would like some faculty support (arranging for an independent study or similar), let me know: it looks like a lot of fun.
(In the interest of full disclosure, I should note that my colleague Willem van Hoeve arranged to get the AIMMS software for free for our course. With AIMMS, we use Gurobi under their standard (free) academic licenses.)