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A portfolio-optimizer using Markowitz(1952) mean-variance model
...In order to minimise the variance it internally uses QuadProg++, a library that implement the algorithm of Goldfarb and Idnani for the solution of a (convex) Quadratic Programming problem by means of an active-set dual method. This solution is very efficient as it allows to solve hundred of thousand of portfolio problems in seconds.
PortOpt runs as a text/console tool so it can be easily used in your own scripts.