Re: [ojAlgo-user] Potential bug in org.ojalgo.finance.FinanceUtils.makeCovarianceMatrix() method

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

The risk aversion factor is up to you... ;-)

2 and 4 are reasonable values, but as the entire range it's a bit narrow. 1 to 10 will cover a bit more, and 0.1 to 100 will usually cover just about everything. Try different values and see what results you get. Also try the calibrate(...) methods of FixedReturnsPortfolio and FixedWeightsPortfolio.

/Anders


On 27 jun 2013, at 19:09, Yang Huang <yan...@gm...> wrote:

> Hi Anders,
> 
> Thanks for the quick fix. It works fine now. However, I realized that I have another simple question regarding the Risk Aversion Factor of the several portfolio classes, e.g. MarkowitzModel and MarketEquilibrium. What is the range for this factor? In some cases, a practical range for the factor can be between 2 to 4. I couldn't find a clue how this factor can be defined. Could you please also advise that? Thanks. 
> 
> -- 
> Yang
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