Re: [ojAlgo-user] Markowitz optimisation

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

Hi Anders,

I've tested the new ActiveSetSolver version and it works with the test data=
set I sent through and many others I was having problems with.

I'm having some different problems now though.  No more exceptions but with=
 some datasets I get a matrix of zeros as the weightings but if I change th=
e risk aversion factor from the default to 1 or to 99 I get weightings appr=
oximating what I'd expect.

I also have another instance where if I increase the RAF to something very =
large e.g. 99999999 the weightings matrix has weightings that violate the b=
ounds I have set in fact some weights are negative when all my lower bounds=
 are 5%.

Is this an issue with the code or just the nature of the RAF I'm setting?

I can provide a code sample if you require.  It's similar to before but wit=
h different bounds and input data.

regards
Arthur


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