GENO / Portfolio Optimization

GENO stands for Generic Optimization and generates efficient code for solving complex optimization problems, so-called solvers, at the push of a button. The development effort is reduced from days or even weeks to minutes.

A typical use case is portfolio optimization. Taking ESG criteria into account increases the complexity of optimizing financial portfolios. With Geno, constraints and objective functions are defined in a simple modeling language and the solver is automatically generated. The generated code is high-performance and can be parallelized on GPUs. Even extensive optimizations are computed in a very short time.