Showing 1 open source project for "algorithm"

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    PortOpt

    PortOpt

    A portfolio-optimizer using Markowitz(1952) mean-variance model

    ...It returns the vector of assets' shares that composes the optimal portfolio. 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.
    Downloads: 0 This Week
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