Re: [ojAlgo-user] Limitation of MarkowitzModel

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

Don't know what the practical size limit for a MarkowitzModel is, but  
I would guess it's more than 50 instruments.

If using MarkowitzModel isn't flexible enough for you you can instead  
use QuadraticModel directly.

If MarkowitzModel/QuadraticModel isn't fast enough you can use  
QuadraticSolver directly.

/Anders


On 26 jul 2009, at 06.36, Nilesh Parekh wrote:

> Dear Team,
> can i use MarkowitzModel to solve the weights for solving 50 X 50  
> variance covariance matrix & 1X50 return matrix (i.e 50 variables) ?
> plz. note that i'll also setting up the expected return to some  
> const. value.
> i have tried with 4 X4 matrix (setting up the expected to some  
> const. value) & it worked perfectly fine, amzingly fast & accurate.
> in this case i'll need 50 setupper limit & 50 set lowerlimits will  
> ojalgo support caculation of such large model.
> also wanted to know the wt. is the max. possible value of n matrix  
> (n X n) [i.e n variable]supported by ojAlgo MarkowitzModel ? and any  
> advice for solving large number of variables with this model?
> Thanks & Regards....Nilesh
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