Re: [ojAlgo-user] Markowitz optimisation

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

Hi Anders,

thanks for your reply and the link.

I am indeed trying to maximise sharpe ratio (at zero risk free rate) using =
your library.

I can run the MarkowitzModel.calculatePortfolioWeights method fine as is bu=
t I'm trying to apply weighting constraints to the assets (limits of 5% -> =
55% with 10 assets).  I looked in the MarkowitzModel code and saw that the =
limitation on shorting was applied by using the setLowerLimit(ZERO) on the =
variables and assumed that I could use the same method in conjunction with =
the setUpperLimit (passing values of 0.05 and 0.55) however this results in=
 NullPointerException on certain combinations of returns.

I mentioned Risk Aversion Factor before because I assumed my error was ther=
e as some RAFs generated exceptions and some didn't but it looks as though =
my assumption on how to apply weighting limits was incorrect so could you t=
ell me whether it's possible to apply min and max weighting limits to the a=
ssets using ojAlgo?

kind regards
Arthur


-----Original Message-----
From: oja...@li...
[mailto:oja...@li...]On Behalf Of Anders
Peterson
Sent: 16 January 2008 22:41
To: oja...@li...
Subject: Re: [ojAlgo-user] Markowitz optimisation


On 16 jan 2008, at 15.36, Arthur McGibbon wrote:
> Hi,
>
> I've been using the MarkowitzModel code to optimise the weighting =20
> across assets within a portfolio but what I ideally want is the =20
> weights for the maximum return/risk ratio possible with the =20
> constraints passed (i.e. the maximum slope on the efficient =20
> frontier going through the origin).
>
http://en.wikipedia.org/wiki/=20
Modern_portfolio_theory#The_market_portfolio
> Is it possible to use the QuadraticModel to solve for this maximum =20
> 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 =20
> maximum return/risk ratio should lead to a single point on the line =20
> 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 =20
you want to solve.

When if you have more specific questions related to ojAlgo source =20
code I'll be glad to try and help.

/Anders

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