Re: [ojAlgo-user] quadratic minimization example

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

Just use the MarkowitzModel class

http://ojalgo.org/generated/org/ojalgo/finance/portfolio/MarkowitzModel.html

and/or browse through the list archive. I believe this question (similar questions at least) has been asked before.

/Anders


On 30 jun 2011, at 02.31, Charley Swift wrote:

> I'm working on a portfolio optimization problem, using QP to find the optimal weight (allocation) of each asset in the portfolio. My objective is to minimize variance: find the optimal portfolio weights for the Minimum Variance Portfolio (MVP). Here's an example in R of what I'm trying to do in Java:
> 
> http://quantivity.wordpress.com/2011/04/17/minimum-variance-portfolios/
> 
> My inputs are an n x n covariance matrix (where n is the number of assets in the portfolio), which I've calculated from the known asset returns.
> 
> The two constraints are: sum of the portfolio weights must add up to 1.0 (allocate all available capital), and all weights must be >= 0 (no shorting allowed).
> 
> Could someone please provide (or point me to) some Java code how to do this in ojAlgo (using its quadratic solver)?
> 
> Thank you,
> Charley
> 
> 
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