Project: Jessica

An experimental framework for optimizing equity SMAs (Separately Managed Accounts, aka standalone portfolios) for retail distribution.

Goal: optimize representative clusters of SMAs subject to account minimums in the shortest time possible.

TO-DO:

• Build optimization model portfolio

  • modularize model components (variables, objectives and constraints)
  • build model-to-use-case matrix
  • build JIT model-assembler

• Build test harness

  • visualize execution waterfall

• Test and tune Performance-Train components (and replace where needed)

  • CPU
  • RAM
  • OS
  • env
  • UI
  • scripts
  • data
  • model
  • solvers

Application Components

Performance Train

	Initial	Next up
CPU	M2	Intel Xeon E-2488
RAM	8GB	128GB DDR 4 ECC
OS	macOS Sonoma 14.5	Linux Ubuntu Server
Env	Docker Compose v2.27.0-desktop.2	--
Script (glue) langs	Python	Dask
Database	PostgreSQL + TimescaleDB	kdb+
Dataframes	Pandas	Polars
Model langs	AMPL	Pyomo, gurobipy
Solvers	Gurobi (optionally + HiGHS for small problems)	--

Non-Performance Train

UI	Grafana
DB Admin	CloudBeaver

Data

Data Sources

• Yahoo Finance API

Instruments Imported

• S&P 500
• Russell 2000