March 31 - April 1 2026
| New York Marriott, Brooklyn Bridge
Decode the Market. Build the Future.Capture the Alpha.
Silke Horn
Senior Optimization Engineer Gurobi OptimizationDr. Silke Horn is a Mathematical Optimization QA Engineer with the Gurobi Optimizer team. She began her journey at Gurobi in 2018 in the technical support team and transitioned to R&D in 2024. She holds a Ph.D. in Mathematics from TU Darmstadt (Germany) and has many years of experience in academic teaching and software development.
DAY ONE I Tuesday March 31
2:20 PM PRESENTATION: Multi-Period Portfolio Optimization with Discrete Decisions
Portfolio decisions are made repeatedly — and each rebalancing is subject to transaction costs, turnover limits, and discrete asset selection constraints that affect future flexibility. Capturing these effects requires moving beyond single-period models to multi-period optimization.
In this session, we demonstrate how multi-period portfolio problems can be formulated and solved as mixed-integer optimization models using Gurobi. We show how to model position dynamics across time, incorporate realistic discrete features such as cardinality constraints, transaction costs, and minimum trade sizes, and account for how these decisions interact across rebalancing periods in a backtesting setting.
Because backtesting requires solving many related optimization problems, solver performance becomes a key practical consideration. We also share modeling best practices and practical insights for scaling multi-period mixed-integer models efficiently.
Check out the incredible speaker line-up to see who will be joining Silke.
Download The Latest Agenda
