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

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

Indeed you are right!
My correlation matrix was wrong.
Now I just slightly change the way I set the volatilities of the assets:

Double[] vols = new Double[n];
for(int i = 0; i < n; i++) {
        vols[i] = new Double(i+1)/ new Double(n);
}

(the volatility of asset i is now (i+1)/n, so there are no zeros anymore).

Now the optimization stated is still FAILED. Also when I re-run the same code I get different weights. I will change my code to always check the optimisation state and ignore the weights provided when it's FAILED.
Also this time I have no idea what causes the optimization to fail.

Samuel

-----Original Message-----
From: Anders Peterson [mailto:an...@op...]
Sent: 27 October 2011 13:59
To: oja...@li...
Subject: Re: [ojAlgo-user] Problem with the constraints on the assets with Markowitz model

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}}
>>
>>
>> __________ Information from ESET NOD32 Antivirus, version of virus signature database 6275 (20110707) __________
>>
>> The message was checked by ESET NOD32 Antivirus.
>>
>> http://www.eset.com
>> ------------------------------------------------------------------------------
>> The demand for IT networking professionals continues to grow, and the
>> demand for specialized networking skills is growing even more rapidly.
>> Take a complimentary Learning@Cisco Self-Assessment and learn
>> about Cisco certifications, training, and career opportunities.
>> http://p.sf.net/sfu/cisco-dev2dev_______________________________________________
>> ojAlgo-user mailing list
>> ojA...@li...
>> https://lists.sourceforge.net/lists/listinfo/ojalgo-user
>


------------------------------------------------------------------------------
The demand for IT networking professionals continues to grow, and the
demand for specialized networking skills is growing even more rapidly.
Take a complimentary Learning@Cisco Self-Assessment and learn
about Cisco certifications, training, and career opportunities.
http://p.sf.net/sfu/cisco-dev2dev
_______________________________________________
ojAlgo-user mailing list
ojA...@li...
https://lists.sourceforge.net/lists/listinfo/ojalgo-user


__________ Information from ESET NOD32 Antivirus, version of virus signature database 6275 (20110707) __________

The message was checked by ESET NOD32 Antivirus.

http://www.eset.com



__________ Information from ESET NOD32 Antivirus, version of virus signature database 6275 (20110707) __________

The message was checked by ESET NOD32 Antivirus.

http://www.eset.com