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

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

It seems I was lucky that one time. Running the code again I get solutions similar to yours.

The problem is your covariance matrix. It has columns and rows with all zeros. That's not allowed!

Also you can/should check the optimization state:

markowitzModel.getOptimisationState();

I get state "FAILED".

/Anders


On 27 okt 2011, at 14:24, Anders Peterson wrote:

> 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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