Tax-aware portfolio optimization – Results

The results were announced at the banquet of the 2010 MOPTA Conference as follows:

ORTEC, Gouda, The Netherlands
Arjan Thomas, Cindy de Groot, Ilse Louwerse, advised by Ineke Meuffels

Team Gladiator
University of Florida
Siqian Shen, Zhili Zhou, Ruiwei Jiang, advised by George Lan

Team Twente
University of Twente, The Netherlands
Stijn Duyzer, Joshua Euwijk, advised by Gerhard Post

Honorable mentions:
Team ETH
ETH, Zürich, Switzerland
Abel Camacho Guardian, Lydia van ´t Veer, advised by Marco Laumanns

Team Uwaterloo
University of Waterloo, Canada
Brendan Ames, Vris Cheung, Sahar Karimi, advised by Stephen Vavasis

See also the press release on the AIMMS website. Reports, models and presentations from the finalists will be published in a few days.


Following a successful competition last year, we are happy to announce the second AIMMS/MOPTA Optimization Modeling Competition.

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 your team will have to develop a tool to optimize a portfolio in the presence of different tax rules. See the case study for more details:
After you register your team, you’ll receive the license files and download paths of the software. There is no deadline for the registration, only for the submission of the final project (see below).


Teams of at most three students can participate. The team leader has to be a graduate student, the other members of the team can be advanced undergraduate students. Each member of the team must be registered as a full-time student at a recognized educational institution during the spring term of the 2009-2010 academic year. Students with a background in operations research, regardless of their actual field of study are eligible. Collaboration between students from different departments is strongly encouraged. Each team needs to declare a team advisor who consults the teams about the problem and their solution. It is the team advisor’s responsibility to ensure that the students have appropriate knowledge for the competition. The team advisor should not be involved as a participant in the solution process.

As the conference is international, so is the competition. Teams from all over the world can participate, as long as at least one team member can come to the conference, should the team make it to the final. The official language of the competition is English. Each team needs to register to participate in the competition and to receive the software (AIMMS and the solvers Gurobi, Mosek, Conopt, IPOPT, CBC and AOA). There is no deadline for the registration, only for the submission of the final project.

Course equivalence

Participating in the competition requires a significant commitment from the teams and takes a lot of time. We encourage you to talk to your department chair and professors to see if you can earn some academic credits from your institution for participating in the competition.

Competition format

The competition consists of three stages. In the first stage the teams have to model an optimization problem (see the case study below) using AIMMS. They will need to submit a complete solution to the problem, including:

  • details of the mathematical model they used to solve the problem,
  • implementation of the model in AIMMS, including a graphical user interface,
  • selection of the appropriate solver(s) form the pool of Gurobi, Mosek, IPOPT, CBC and AOA, solver options and parameters, and the solution of the optimization problem,
  • a report (at most 15 pages, 12pt font, single spaced, 1 inch margins) describing the model, the implementation and the results.

A Panel of judges, including representatives from both the conference organization committee and Paragon Decision Technology (the developer of AIMMS) evaluates the submissions, provides feedback to the teams and invites the best teams to present their work at a dedicated session of the conference. The finalists will also get an extra twist to the problem, which they will need to incorporate in their model between May and the conference. After the presentations the judges will ask a few questions. The finalists are ranked based on a combined score for the model, the implementation, the report, the solution, the oral presentation, and the answers to the judges’ questions. The decision of the judges is final and cannot be appealed.

Important dates

Case study posted: February 1, 2010
Submissions (model and report) due by: May 31, 23:59 EDT (New York time)
Finalists chosen by: June 15
Updated model and report due: August 10
Conference: August 18-20

If you have any questions please contact  for software and licensing related issues or Imre Pólik at  for other questions about the competition and the case study. You are encouraged to check the submissions of the three finalists from last year’s competition.


By submitting an entry to the competition you agree that the organizers own the copyright to a copy of your submission. This does not limit your rights to publish your work, give talks, posters, etc., but grants us the right to use your work.