Re: [ojAlgo-user] Markowitz optimisation

[Anders P. <an...@op...>]

On 16 jan 2008, at 15.36, Arthur McGibbon wrote:
> Hi,
>
> I've been using the MarkowitzModel code to optimise the weighting  
> across assets within a portfolio but what I ideally want is the  
> weights for the maximum return/risk ratio possible with the  
> constraints passed (i.e. the maximum slope on the efficient  
> frontier going through the origin).
>
http://en.wikipedia.org/wiki/ 
Modern_portfolio_theory#The_market_portfolio
> Is it possible to use the QuadraticModel to solve for this maximum  
> given the 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 return/risk ratio should lead to a single point on the line  
> or have I got the wrong idea about what the Risk Aversion Factor is?
>
I think you're the one who should know which (mathematical) problem  
you want to solve.

When if you have more specific questions related to ojAlgo source  
code I'll be glad to try and help.

/Anders