Following a successful competition last year, we organized the AIMMS MOPTA Optimization Modeling Competition 2010. Again, teams from all over the world competed against each other.

The challenge: Tax-aware portfolio Optimization

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 the teams had to develop a tool to optimize a portfolio in the presence of different tax rules. Download the detailed case study in pdf for more details.

Teams from all over the world

In total 19 different teams registered from 8 countries (USA (9), Brazil (2), Netherlands (2), Canada (2), Switzerland (1), Hungary (1), Colombia (1), Turkey (1)). The team from Switzerland, all students of ETH Zurich Institute for Operations Research, received credit points for participation as part of the course ‘Robust Planning Methods’ by Dr. Marco Laumanns.

AIMMS MOPTA models, presentations and reports of Finalists

In our news item of August 20, we already announced team Ortec the winner of the competition.
There was a wide variety in solution approaches by the different teams, as you can see below when you compare the approach of Team Ortec with Team Gladiator. This gave the four judges an interesting challenge in picking the three finalists and the final winner.

Here, we want to recognize all 3 finalists for their hard work and great submissions by sharing their presentation, model, and report:

Team ORTEC Winner: Cindy Groot (VU Amsterdam), Ilse Louwerse (Erasmus University) and Arjan Thomas (University Twente), advisor: Ineke Meuffels (ORTEC and PhD student at University of Tilburg).

Team Gladiator, University of Florida, Department of Industrial and Systems Engineering: Ruiwei Jiang, Siqian Shen and Zhili Zhou, advisor Dr. George Lan

Team Twente, University of Twente: Stijn Duijzer, Joshua Euwijk, Bas Joosten, advisor: Gerhard Post.

AIMMS Projects

The AIMMS projects of the finalists are available in aimmspack format. If you do not have an AIMMS license yet, request free trial license or – if you are academe – apply for our new Free AIMMS Academic License.

Part of your Academic curriculum

Participating in a modeling competition is an effective and fun way for your students to work together and to apply the modeling classes to real life problems.

AIMMS MOPTA Modeling Competition 2011

If you would like to participate or have your students participate in MOPTA 2011 (starts early 2011), make sure you place yourself on the mailing list by sending an email to info@aimms.com with the subject "AIMMS Modeling Competition MOPTA 2011".