Portfolio Optimization

PortfolioOptimizationBenchmark is a Markovitz portfolio optimization problem, where asset prices are unknown, and only contextual data is available to predict these prices. The goal is to predict asset prices $c$ and maximize the expected return of a portfolio, subject to a risk constraint using this maximization program:

\[\begin{aligned} \max\quad & c^\top x\\ \text{s.t.}\quad & x^\top \Sigma x \leq \gamma\\ & 1^\top x \leq 1\\ & x \geq 0 \end{aligned}\]