Solving Complex Challenges in
Banking & Financial Services:

Portfolio Optimization
Is your portfolio construction process
enabled by your optimization engine,or hindered by it?

Optimization ExpertiseAt Gurobi Optimization, we focus on mathematical optimization. It’s all that we do.
Since our founding in 2008, our clients have benefitted from the convergence oftwo powerful trends: first, our sustained R&D investment has driven order ofmagnitude improvements in Gurobi’s ‘speed-to-solve,' along with an everbroadening array of mathematical formulations and features.

The Technical Superiorityof an Optimization
Powerhouse
Over 15 years of consistent
R&D investment has created amature, enterprise-grade
optimization engine. Pleaserefer to page 5 to learn more.

And second, advances in compute power have led to a reduction in compute cost,
making optimization a practical solution for an ever-widening variety of complex
business problems. Together, this convergence has introduced thousands ofclients to Gurobi and the power of optimization, establishing us as the market
leader across 40+ industries and around the globe.

Opportunities for Optimization
Banking and Financial Services firms use mathematical optimization to address avariety of customer-facing and back-office functions. Here are some of today’s
most common applications:

Asset management (maximize return or minimize risk)§

Portfolio Construction§

Asset Allocation§

Portfolio Index-tracking§

Scenario Back-testing§

Payment Netting§

Systemic Risk Management

Operations management (maximize revenue or contain costs)§

Retail Loan & Credit Card Offerings§

Liquidity & Cash Management§

Collections Management§

ATM & Branch Network Location Determination§

ATM Cash Transfer Efficiencies§

Field Service Scheduling§

Workforce SchedulingUnparalleled Support
Expertise
Support from our Gurobi
Experts Team is included, atno additional cost, with every
license-type we offer. Pleaserefer to page 6 to learn more.

Your view of the investing world changes all the time;
your portfolio construction modeling environment must
be ready to respond.

Gurobi: A Leader in Portfolio Optimization
Portfolio optimization (PO) is perfectly suited tothe speed and robustness of Gurobi, which at its
essence, is an advanced numerical library ofsophisticated algorithms. PO is a specificexample of mathematical optimization (MO).
The power of MO is its ability to incorporate any
sort of investment requirement, as long as it canbe expressed as a mathematical formula—aprocess referred to as ‘modeling.’ The portfolio
manager (PM)’s mathematical models preciselyreflect the full set of business rules behind theirportfolio construction logic, and as such, eachmodel can grow to become very complex. ThePO modeling process starts with the PM’sobjective of balancing return maximization andrisk minimization.

The PM works with their modeling experts todefine the series of variables (e.g., fundamental
data, alternative data, market data, etc.) andconstraints (e.g., leverage, factor, holdings, etc.),
layering dependency upon dependency, until thePM’s investment strategy is properlyrepresented. As the PM’s thinking evolves, so
too must the mathematical model that reflects
it. This evolution is known as extensibility; highquality commercial optimization tools give thePM the power to continuously adapt the model
to changing requirements without having toredevelop a given model from scratch.

Complimented by Machine Learning
Trade Execution Algorithms
Whereas optimization is king in the portfolio
construction process, machine learning (ML),
optimization’s sister technology under the Artificial
Intelligence umbrella, is leader in the resulting trade
execution process.

In contrast, PO is a system that takes in a model,
processes it through the appropriate Gurobi algorithm,
and produces, as an output, a transparently defendable
and optimal asset re-allocation decision in accordancewith the PM’s objective.

ML takes in data, processes it through the data
scientist’s ML algorithm, and outputs a model. Theseoutput models are predictive, presenting the liquidityseeking, trade execution quantitative analyst with arange of possible strategies.

Traditionally, factoring for the risk of adverse market
impact has been handled differently by the PM versus
the ML quant responsible for executing the trades.

Order-routing decisions depend upon streaming realtime market and trade data. As a result, optimality is
not know-able in advance, and it’s rarely achieved in thetrading room. The execution quality of an ML model ismeasured as a post-mortem analytic that compares anactual result to a benchmark. That gap is called‘slippage,’ and the pre-trade gap prediction is called‘estimated market impact.’
Minimizing slippage in the trade execution process isimportant to the post-trade ‘execution quality’assessment.

In the PO process, this type of risk factor is applied
generically, across all symbols regardless of order size,
ADV, liquidity available by venue, etc. The quant’s MLmodels have a short, intra-day time horizon and work to
reduce slippage on a symbol-by-symbol basis with themore trade-relevant streaming data.
What if the ML liquidity-seeking execution algorithm
could be used as an input to the PO process? In fact,
this is a recent industry development. It may not deeply
affect the PM’s list of securities to be traded on a given
day, but information is power. At a minimum, it’s anapproach that better aligns intra-day alpha, thedominant trading room performance metric, with thelonger performance measurement lens of the portfolio
manager, and this is good start.

Prepare For The Future
If you began your journey modeling in an Excel spreadsheet that became too complex, orwith a heuristic, or an open-source solver that doesn’t deliver the required performance, orperhaps suffers from instability, lack of documentation, or support—for many firms, thedecision to use a state-of-the-art commercial portfolio optimization engine often begins
with the question:“If the solver is the most critical component of myportfolio construction IT stack, why would I not
use the best?”
Models evolve, and portfolio management strategies that today may be solved by a simple
continuous non-linear formulation may tomorrow require a complex combination ofquadratic, non-linear, or mixed integer constraints. Gurobi’s library of optimization
algorithms was built on the premise that our clients need not be concerned with what sortof solver algorithm is required—that determination is Gurobi’s.

Make Smarter Decisions Faster
Would faster iterative back-testing
cycles improve the daily performanceof your portfolio?
Evaluating alternative datasets is a vital component of many quantitative
investment strategies, and their rise in popularity presents new challenges
for portfolio managers.
How many new alternative data sets do you care about? How often do you
acquire and normalize a sample dataset to your master data model, reconfiguring your existing optimization models to accommodate multiple
combinatorial approaches, creating and running your back-testing scripts—
only to wait too long for the result?
An optimization model reflects a specific perspective on the objective,
constraints, and variables in the underlying decision problem. For
systematic quantitative approaches to portfolio management, back-testing
complex portfolio strategies and performing historical simulations is
critical. Iterating millions of ‘what if’ scenarios with highly compressed timeseries data, fast, requires a solver that excels at speed-to-solveperformance.
The firm that can experiment with the largest number of new datasets inany given month’s back-testing scripts, maximizing the scope ofoptimization scenarios to be tested while minimizing the speed tocomplete each iteration, may gain a performance competitive advantage inproduction.

Gurobi Optimizer
A Mature Enterprise-Grade Commercial Solver
The world’s fastest solver – backed up by brilliant innovators and expert support
Our founders created Gurobi Optimization with a single, simple vision: To build the world’s fastest and mostpowerful mathematical optimization technology. And that’s exactly what they did.
Unmatched performance
Public benchmarks consistently show that Gurobi
finds both feasible and proven optimal solutions
faster than competing solvers.

All major model types
Solve a complete range of problems—including LP andMILP and convex and non-convex QP, MIQP, QCP, andMIQCP, as well as SOCP and bi-linear problems.

Numerical stability
Trust Gurobi in the correctness of results, scalability
with problem size and difficulty, and solve time
consistency over a full range of model instances.

Easy-to-use features for streamlining model
implementation
Gurobi provides tools to easily incorporate multiple
objectives, use non-linear functions, perform scenario
analyses, troubleshoot infeasible models, and more.

“Lightweight programming interfaces
Work in the language you know best—GAMS, AIMMS,AMPL, MATLAB, R, Java, C++, .NET, and importantly,
our Python API. Python users may also takeadvantage of our seamlessly incorporated matrixbased modeling environment.

Parallel and distributed optimization
Distribute your computational load across several
processing units, shortening your solve time.

Flexible licensing to satisfy your architecturalrequirements
Whether you choose to run Gurobi Optimizer on a
local machine, submit jobs to the Gurobi Compute
Server, develop containerized applications to be
deployed in the cloud, or embed it in an enterpriseapplication, Gurobi gives you a full range of options.

It was not a difficult decision to switch over to Gurobi
after seeing these impressive numbers. The Gurobi
interfaces set themselves apart in that they are simple
and intuitive to use, and the application works well withlarge models. The Gurobi technical support team isavailable to help answer all of our questions, which isan extra time-saving benefit, in addition to the solver’s
performance and the quick implementation process.
MATTHIAS WYSSHEAD OF IMPAQT CONSULTING AT SWISSQUANTA European ISV focused on Risk Modeling & Analytics, Trading & Risk
Management, and Hedging & Procurement

Gurobi Experts
Technical Advisory & Support TeamOur Experts Team is 15+ strong and has over 150 years of aggregate
experience in optimization—with 88% having earned a PhD. Put simply, ourteam is passionate about helping customers succeed with optimization.
Gurobi experts are on the frontlines with you, directly available without calltriage. We extensively measure our client customer satisfaction results andare proud of our 98.5% rating; the team maintains a median response timeof 27 minutes from when a help request ticket is first opened.
Whether you are migrating from a different solution or starting a newproject, our experts are happy to answer your ‘how to’ questions, point you
to the right resources, and get you set up for success. Typical areas ofassistance include:
Using Gurobi APIs
Using our optimization libraries the ‘right way’ can make a significant
impact. Our experts will help you use our APIs efficiently, thereby reducing
the time required to construct and interact with your models.

Helping with performance tuning
Gurobi is pre-configured with settings that generally work well across abroad set of models. However, it is possible that for a specific set ofmodels, our experts can help you find those specialized settings that willallow them to perform even better.

Model troubleshooting
The Experts Team can help identify and troubleshoot unexpected
problems, such as slow performance or code failure.
As you develop your optimization application, you may have questions like
why the solver behaves in a certain way, or how a change to the modelleads to a particular outcome. The Experts Team can help you understandexactly what is happening.
Providing guidance on architectural deployments
Whether you are building a new optimization application or updating anexisting one, our experts can review your architectural deployment, makesure you are comfortable with any migration processes involved, and assist
during upgrades to reduce the risk of service interruptions.

VIEW BROCHURE

Expert Advice and Technical Support
Work with Gurobi in the manner that suits you best.
In addition to live advisory calls with our Experts Team, our multi-channel educational support offering
includes online technical documentation, a community forum, knowledge-based articles, and bi-annual
in-person ‘Gurobi Days’ training sessions.

GUROBI COMPASSOur Capstone Advisory Offering: Customized, Expert-Led Training and Workshops

Let our experts come to you! With our live, hands-on workshops and prerecorded videos, your team can receive the training they need, in the format
that works best.

NEED MORE?
Our Gurobi Alliance network of trusted partners and professional services
firms can help you develop and execute your optimization strategy,
delivering on both short- and long-term optimization engagements.

Prepare for Optimal Impact
With Gurobi’s optimization technology, you can make confident business decisions in seconds. In over 40
industries and around the globe, over 1,200+ direct customers and Independent Software Vendors (ISV’s)
run on Gurobi, including half of the Fortune 10 and 70% of top US banks.

In Banking and Financial Services, from portfolio management to commodity trading to hyper-personalized retailbank marketing and many other use cases in between, Gurobi Optimization is here to help identify your optimalcourse of action, efficiently and reliably.

Thank You
The business problem may be yours, but thescience of decision intelligence is Gurobi’s.
Let us help you solve it.
It Starts with a Conversation.
Try Gurobi free for 30 days.
Our Sales and Technical Account Management teams
are here to help you get started with the appropriate type ofevaluation license, including full access to our world-class Experts Team.
For more information, please contact sales@gurobi.com or visit
gurobi.com/free-trial to get started.