[ojAlgo-user] Markowitz optimisation

[Arthur M. <art...@be...>]

Hi,

I've been using the MarkowitzModel code to optimise the weighting across as=
sets within a portfolio but what I ideally want is the weights for the maxi=
mum return/risk ratio possible with the constraints passed (i.e. the maximu=
m slope on the efficient frontier going through the origin).

Is it possible to use the QuadraticModel to solve for this maximum given th=
e expected returns and covariance matrices?
If so - could you give me some pointers on how to do this?
Also - would this lead to not using a Risk Aversion Factor as the maximum r=
eturn/risk ratio should lead to a single point on the line or have I got th=
e wrong idea about what the Risk Aversion Factor is?

regards
Arthur


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