Portfolio Optimization Grand Prix
Design an optimal portfolio allocation strategy that maximizes risk-adjusted returns while adhering to realistic constraints including transaction costs, position limits, and turnover restrictions. The challenge uses a universe of 50 obfuscated assets with 10 years of daily data.
Prize Pool
$50,000
Participants
0
Timeline
Apr 1 — Jun 1, 2026
Design an optimal portfolio allocation strategy that maximizes risk-adjusted returns while adhering to realistic constraints including transaction costs, position limits, and turnover restrictions. The challenge uses a universe of 50 obfuscated assets with 10 years of daily data.
Columns
200
Obfuscated features
Rows
630,000
Training observations
Scoring
Sortino Ratio (drawdown-adjusted)
Primary evaluation metric
Runtime Limit
30 minutes per evaluation
Memory Limit
8GB RAM
Max Submissions
60 total