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

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

Hi Anders,

Thank you for your quick reply.
I just upgraded my jars and re ran my code. This time I get a plausible result but for some reason different of yours:
{{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.55}}

I will keep investigating, I must have something else wrong.
Cheers,
Samuel

-----Original Message-----
From: Anders Peterson [mailto:an...@op...]
Sent: 27 October 2011 13:24
To: oja...@li...
Subject: Re: [ojAlgo-user] Problem with the constraints on the assets with Markowitz model

Just ran your code. I got this solution:

{{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.05},
{0.3},
{0.3}}

I am of course using v31, but I don't know what would be the difference. Upgrade to v31 and see if the problem disappears for you as well.

/Anders


On 27 okt 2011, at 13:21, Samuel Le wrote:

> 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}}
>
>
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