Re: [ojAlgo-user] Markowitz Model Problem

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 Thank you for your response. 
 
 Here's my model's detail: 
 
 [AE]={1.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp; &nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp; &nbsp;&nbsp;&nbsp; 1.0}

<p>
<br />[be]={1.0} </p>

<p>
<br />[Q]={3.048907897157133E-4,&nbsp;1.6671472561019247E-4,&nbsp;4.4500080981934345E-4,&nbsp;-5.389129745055723E-4,&nbsp;-2.6090705011393183E-4,&nbsp;-1.2633284900760366E-4,&nbsp;-6.485428846447651E-7},
<br />{1.6671472561019247E-4,&nbsp;2.341985572849691E-4,&nbsp;2.9113916450678265E-4,&nbsp;-4.5760873539850514E-4,&nbsp;1.3078636134987255E-5,&nbsp;-2.354289901013046E-5,&nbsp;-7.578030042426654E-7},
<br />{4.4500080981934345E-4,&nbsp;2.9113916450678265E-4,&nbsp;7.46023915996829E-4,&nbsp;-0.0010247176498305568,&nbsp;-2.6745504327902895E-4,&nbsp;-1.6563544154823496E-4,&nbsp;-8.293698990696063E-7},
<br />{-5.389129745055723E-4,&nbsp;-4.5760873539850514E-4,&nbsp;-0.0010247176498305568,&nbsp;0.001754169535149865,&nbsp;2.0293065310212377E-4,&nbsp;2.1401092557826588E-4,&nbsp;1.0252846778608953E-7},
<br />{-2.6090705011393183E-4,&nbsp;1.3078636134987255E-5,&nbsp;-2.6745504327902895E-4,&nbsp;2.0293065310212377E-4,&nbsp;4.632320892679136E-4,&nbsp;1.7969731066037214E-4,&nbsp;2.4953495129362833E-8},
<br />{-1.2633284900760366E-4,&nbsp;-2.354289901013046E-5,&nbsp;-1.6563544154823496E-4,&nbsp;2.1401092557826588E-4,&nbsp;1.7969731066037214E-4,&nbsp;8.346410612364995E-5,&nbsp;-7.02099350897589E-8},
<br />{-6.485428846447651E-7,&nbsp;-7.578030042426654E-7,&nbsp;-8.293698990696063E-7,&nbsp;1.0252846778608953E-7,&nbsp;2.4953495129362833E-8,&nbsp;-7.02099350897589E-8,&nbsp;8.367244992498656E-9}}</p>

<p>[c]={{0.010638291263564232}, 
<br />{0.013500370827906071}, 
<br />{0.011390037735101773}, 
<br />{0.010385042339767682}, 
<br />{3.812208389845893E-4}, 
<br />{0.002315505853720011}, 
<br />{0.0}} </p>

<p>
<br />[AI]={{1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;1.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 1.0}, 
<br />{-1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;-1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;-1.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;-1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;-1.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;-1.0, &nbsp;&nbsp; &nbsp;&nbsp; 0.0}, 
<br />{0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp; &nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp;&nbsp;&nbsp;0.0, &nbsp;&nbsp; &nbsp;&nbsp; -1.0}} 
<br /></p>

<p>[bi]={{1.0}, 
<br />{1.0}, 
<br />{1.0}, 
<br />{1.0}, 
<br />{1.0}, 
<br />{1.0}, 
<br />{1.0}, 
<br />{0.0}, 
<br />{0.0}, 
<br />{0.0}, 
<br />{0.0}, 
<br />{0.0}, 
<br />{0.0}, 
<br />{0.0}} 
<br /></p>

<p>And here's the result:</p>

<p>-0.25
<br />-0.25
<br />-0.25
<br />-0.25
<br />0.75
<br />0.75
<br />0.75</p>

<p>And i found that if i change the nagetive ExceptedReturn to positive, the result will be fine.</p>

<p>
<br />On Wed, 14 Jan 2009 09:27:53 +0100, Anders Peterson wrote 
<br />&gt; How small are the negative values? 
<br />&gt; 
<br />&gt; Give me a unit test (something that I can easily integrate with the &nbsp; 
<br />&gt; existing junit tests) that shows what you do, and where/how you 
<br />&gt; think &nbsp;it goes wrong. 
<br />&gt; 
<br />&gt; /Anders 
<br />&gt; 
<br />&gt; On 14 jan 2009, at 03.58, Ruan Weichao wrote: 
<br />&gt; 
<br />&gt; &gt; 
<br />&gt; &gt; Hi, 
<br />&gt; &gt; 
<br />&gt; &gt; I use the &nbsp;Markowitz model to calculate the optimize some assets' &nbsp; 
<br />&gt; &gt; weights, 
<br />&gt; &gt; 
<br />&gt; &gt; and set all the assets' lowerlimit with Zero and set all the &nbsp; 
<br />&gt; &gt; upperlimits with 
<br />&gt; &gt; 
<br />&gt; &gt; One, but it turns out with some negative value which are little &nbsp; 
<br />&gt; &gt; than Zero, it 
<br />&gt; &gt; 
<br />&gt; &gt; seems that the lowerlimit does not work. 
<br />&gt; &gt; 
<br />&gt; &gt; So I want to ask what should I do it to confirm the lowerlimit? 
<br />&gt; &gt; 
<br />&gt; &gt; -- 
<br />&gt; &gt; Best regards 
<br />&gt; &gt; 
<br />&gt; &gt; weichao 
<br />&gt; &gt; 
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Re: [ojAlgo-user] Markowitz Model Problem

Mathematics, linear algebra and optimisation

Re: [ojAlgo-user] Markowitz Model Problem