Re: [ojAlgo-user] Markowitz optimisation

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

Hi Anders,

Sorry - but I've got another example of a NullPointerException.

Thanks for patching all of these - it's taken a while to get another one.  I'd give you all the examples at once but they're dependent on previous optimisation results.

regards
Arthur

public void testojAlgo6()
	{
		// create expected returns matrix
		PrimitiveMatrix expectedReturnsMatrix = new PrimitiveMatrix(new double[][] { {9.997829}, {10.008909}, {10.010849}, {9.998919}, {10.055549}, {9.999127}, {9.999720}, {10.049002}, {9.988769}, {9.990095}});
		// create covariance matrix
		PrimitiveMatrix covarianceMatrix = new PrimitiveMatrix(new double[][] {{0.014661954677318977,	3.459112088561122E-4,	0.007798752920910871,	0.0020921425081866503,	0.001846944297640248,	1.0531906931335766E-4,	-2.7515614291198E-4,	0.0034083900074454894,	1.1859491261103433E-4,	-0.0027421673864628264},
				{3.459112088561122E-4,	0.008695862475003915,	0.004154360841751649,	-2.661685231819661E-4,	-0.0015999007544258263,	3.590680217774603E-4,	-0.00186976624370318,	0.0010975416828213752,	-5.512038393911129E-4,	-0.0010605923775744853},
				{0.007798752920910871,	0.004154360841751649,	0.032945930970836965,	0.0037716078815399324,	-2.2919474365382624E-4,	3.3938035033219876E-4,	-0.0015613122026082874,	0.0010975697179894332,	2.296422665244149E-4,	-0.001709517941787044},
				{0.0020921425081866503,	-2.661685231819661E-4,	0.0037716078815399324,	0.0057162979859706736,	5.573137056500744E-4,	4.91132887765294E-4,	-9.94830474250937E-4,	8.331708084069932E-4,	-6.595917138470072E-4,	-0.0018693519327569541},
				{0.001846944297640248,	-0.0015999007544258263,	-2.2919474365382624E-4,	5.573137056500744E-4,	0.03230071314144326,	-2.2320789666419312E-4,	-2.2639506820057415E-4,	0.010695663287043154,	0.0014569847730040847,	0.002160537177809949},
				{1.0531906931335766E-4,	3.590680217774603E-4,	3.3938035033219876E-4,	4.91132887765294E-4,	-2.2320789666419312E-4,	0.0017540170708301957,	5.153195618913916E-5,	7.339825618468765E-4,	-9.309096233432093E-6,	-1.814362059740286E-4},
				{-2.7515614291198E-4,	-0.00186976624370318,	-0.0015613122026082874,	-9.94830474250937E-4,	-2.2639506820057415E-4,	5.153195618913916E-5,	0.00809348822665732,	-0.0017672866424053742,	3.058672988166145E-4,	0.001201578905822851},
				{0.0034083900074454894,	0.0010975416828213752,	0.0010975697179894332,	8.331708084069932E-4,	0.010695663287043154,	7.339825618468765E-4,	-0.0017672866424053742,	0.013913761913235494,	0.0012785124957521252,	5.298368056593439E-4},
				{1.1859491261103433E-4,	-5.512038393911129E-4,	2.296422665244149E-4,	-6.595917138470072E-4,	0.0014569847730040847,	-9.309096233432093E-6,	3.058672988166145E-4,	0.0012785124957521252,	0.004650801896027841,	5.437156659657787E-4},
				{-0.0027421673864628264,	-0.0010605923775744853,	-0.001709517941787044,	-0.0018693519327569541,	0.002160537177809949,	-1.814362059740286E-4,	0.001201578905822851,	5.298368056593439E-4,	5.437156659657787E-4,	0.007359495478781133}});

		// create asset variables - cost and weighting constraints
		Variable[] tmpVariables = new Variable[expectedReturnsMatrix.getRowDim()];
		for (int i = 0; i < tmpVariables.length; i++)
		{
			tmpVariables[i] = new Variable("");
			tmpVariables[i].setContribution(expectedReturnsMatrix.toBigDecimal(i, 0).negate());
			// set the constraints on the asset weights
			// require at least a 8% allocation to each asset
			tmpVariables[i].setLowerLimit(new BigDecimal("0.08"));
			// require no more than 12% allocation to each asset
			tmpVariables[i].setUpperLimit(new BigDecimal("0.12"));
		}

		QuadraticModel quadModel = new QuadraticModel(tmpVariables);

		Expression tmpExpr = quadModel.addCorrelationExpression("Variance", covarianceMatrix.toBigStore().toArray());
		BigDecimal riskAversion = BigMath.PI.multiply(BigMath.E);
		tmpExpr.setContribution(riskAversion.multiply(BigMath.HALF));

		// set balance expression
		tmpExpr = quadModel.addSimpleWeightExpression("Balance");
		tmpExpr.setLowerLimit(BigMath.ONE);
		tmpExpr.setUpperLimit(BigMath.ONE);

		// exception here...
		BasicMatrix bm = BigMatrix.FACTORY.buildColumnVector(quadModel.getDefaultSolver().getSolution());
	
		System.out.print(bm.toString());
	}


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