[ojAlgo-user] Problem with the constraints on the assets with Markowitz model

[Samuel Le <Sam...@sr...>]

Dear all,



I am new to ojalgo and am trying to use it for portfolio optimisation.

I think I found a bug: when trying to find some optimal weights with constraints, I can obtain inconsistent weights.

I include below an example. I am using the ojalgo version 30.6.

I would be grateful if someone could tell me what I am doing wrong.



Many thanks,

Samuel



Here is my code:



import java.math.BigDecimal;



import org.ojalgo.finance.portfolio.MarketEquilibrium;

import org.ojalgo.finance.portfolio.MarkowitzModel;

import org.ojalgo.matrix.BasicMatrix;

import org.ojalgo.matrix.PrimitiveMatrix;

import org.ojalgo.matrix.store.PhysicalStore;

import org.ojalgo.matrix.store.PrimitiveDenseStore;



public class OjalgoTest {



      public static void main(String[] args) {

            int n = 10;

            PhysicalStore<Double> resStore = PrimitiveDenseStore.FACTORY.makeZero(n, n);

            Double[] vols = new Double[n];

            for(int i = 0; i < n; i++) {

                  vols[i] = new Double(i)/ new Double(n);

            }

            Double corr = 0.1;

            for(int i = 0; i < n; i++) {

                  for(int j = 0; j < n; j ++) {

                        if(i == j) {

                              resStore.set(i, j, vols[i]*vols[i]);

                        }

                        else {

                              resStore.set(i,j,corr*vols[i]*vols[j]);

                        }

                  }

            }

            double[] expectedRets = new double[]{0.2,0.19,0.18,0.17,0.16,0.15,0.14,0.13,0.12,0.11};

            PhysicalStore<Double> physicalStorDbl = PrimitiveDenseStore.FACTORY.makeZero(n, 1);

            for(int i = 0; i < n ; i++) {

                  physicalStorDbl.set(i, 0, expectedRets[i]);

            }

            PrimitiveMatrix expectedReturnsMatrix = new PrimitiveMatrix(physicalStorDbl);

            PrimitiveMatrix covMat = new PrimitiveMatrix(resStore);

            MarketEquilibrium me = new MarketEquilibrium(covMat);

            MarkowitzModel markowitzModel = new MarkowitzModel(me, expectedReturnsMatrix);

            for(int i = 0; i < n; i++) {

                  markowitzModel.setUpperLimit(i, new BigDecimal("0.05"));

                  markowitzModel.setLowerLimit(i, new BigDecimal("0.3"));

            }

            markowitzModel.setRiskAversion(new BigDecimal("0.0001"));

            BasicMatrix tmpWgts = markowitzModel.getAssetWeights();

            System.out.println(tmpWgts);



      }

}



And this is what I am getting:



{{0.05},

{0.05},

{0.05},

{0.05},

{0.05},

{0.05},

{0.05},

{0.05},

{76.9098},

{-76.3098}}