Re: [ojAlgo-user] Markowitz optimisation

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

On 18 jan 2008, at 15.39, Arthur McGibbon wrote:

> Hi Anders,
>
> I've tested the new ActiveSetSolver version and it works with the  
> test dataset 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 the risk aversion factor from the default to 1 or  
> to 99 I get weightings approximating what I'd expect.

?

Send me a test case, and include the "correct" result.

> 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 bounds 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'm guessing this is a numerical problem that is not handled/reported  
correctly. Send me a test case for this as well.

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

Please do so,

/Anders

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