Re: [ojAlgo-user] Markowitz model

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

What's the problem?

If you think you've found a bug; supply a test case (code) that demonstrates the problem.

Please just send minimal, directly executable, code. Be sure to state what you expect to happen and what actually does happen.

/Anders


On 3 sep 2013, at 09:55, Cristian Bissattini <cri...@ho...> wrote:

> Dear All,
>  
> I found out a possible bug in Markowitz model with this asset allocation:
>  
> Asset 1: Expected return 4.51%, SD 4.25%
> Asset 2: Expected return 9.12%, SD 32.18%
> Asset 3: Expected return 9.00%, SD 47.17%
> Asset 4: Expected return 7.71%, SD 28.24%
> Asset 5: Expected return 6.73%, SD 25.49%
> Asset 6: Expected return 7.21%, SD 27.25%
> Asset 7: Expected return 9.55%, SD 31.09%
>  
> Correlation Matrix is positive defined:
>  
> -0.3511
> -0.2413   0.8849
> -0.3264   0.8656   0.7288
> -0.3762   0.9433   0.8205   0.9320
> -0.3624   0.9460   0.8408   0.9183   0.9907
> -0.3576   0.9938   0.8556   0.8771   0.9486   0.9413
>  
> The problem is when the target return is 6.81%
>  
> Could you give me your feedback?
>  
> Regards,
> Cristian
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