Re: [ojAlgo-user] Markowitz Example

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

The MarkowitzModel has a constructor that takes two arguments - the covariance matrix and the expected returns - both typed as BasicMatrix.

Here you can read about how to create matrices: http://code.google.com/p/ojalgo/wiki/GettingStartedLinearAlgebra

Then you read the javadoc: http://ojalgo.org/generated/org/ojalgo/finance/portfolio/MarkowitzModel.html

/Anders


On 8 okt 2013, at 17:50, "Anthony Edwards" <ant...@al...> wrote:

> Hi
>  
> Ive spent all afternoon looking at this mailing list just to find a basic example of Markowitz optimisation so I can see how to do things properly (especially creating the covar matrics etc).  Does anyone have a basic example to point me in the right direction please?
>  
> A lot of the code fragments in the list seem to be from older versions and dont even compile now ...
>  
> Any help would be really appreciated – I have seen the little documentation there is, but just want a simple example if possibe where i supply an expected returns and covar and get back the weights ...
>  
> Thanks everyone
>  
> Anthony
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