4  Operations Research Case Study

4.1 Robeco: Investment Portfolio Optimization

This note summarizes the case study of Robeco in pursuit of exemplfying an application and importance of operations research tools within the financial industry.

Robeco, headquartered in the Netherlands, is a global asset management firm specialized in fixed income portfolios having assets under management of EUR 176 billion (as of December 2020).

The company aimed to enhance its portfolio management process of systematic fixed income portfolios by switching to a superior mathematical optimization solver for the systematic fixed-income portfolio optimization process from its legacy mathematical optimization solvers (commercial and open source).

The criteria Robeco determined for the new tool to meet were that it should provide:

• the necessary problem-solving speed,
• robustness,
• flexibility,
• right technical support and
• a scalable deployment architecture.

Robeco chose Gurobi Optimizer as a new tool to run its systematic portfolio optimization process among various alternatives based on the criteria mentioned above.

During the transition process, the ease of use when incorporating the software in both Robeco’s MATLAB and Python models, enabled a smooth transition.

After the adoption of Gurobi optimizer, efficient creation of optimal investment portfolios and greater integration within the company with deployment in a cloud based environment, enable more in-depth and extensive analysis of investment portfolios which is crucial to enhance the portfolio’s performance in terms of risk and return.