[ojAlgo-user] Negative weights in MarkowitzMarkowitz model when setShortingAllowed(false) and weights limited 0 to 0.5

[Anthony E. <ant...@al...>]

Hi 
I was under the impression that if I create a MarkowitzModel, then set setShortingAllowed to false and setTargetReturn then the weights should always be positive or zero?
MarkowitzModel markowitzModel = new MarkowitzModel(cvm, erm);
markowitzModel.setShortingAllowed(false);
markowitzModel.setTargetReturn(new BigDecimal(targetReturn));
        
        
        for (int i=0; i<er.length; i++) {
            markowitzModel.setLowerLimit(i, new BigDecimal(minWgt[i]));
            markowitzModel.setUpperLimit(i, new BigDecimal(maxWgt[i]));
            
            System.out.println("Limits["+i+"] --> "+minWgt[i]+" to "+maxWgt[i]);
        }

final List<BigDecimal> re = markowitzModel.getWeights();
        for (int nn = 0; nn < re.size(); nn++) {
           //System.out.println( re.get(nn) );
           weights[nn] = re.get(nn).doubleValue();
        }

This gives me some negative weights with my covariance (cvm) and expected returns (erm).

Any idea what am I doing wrong?  Ive tried all sorts of combinations but it doesnt seem to help.

Interestingly, if I do setRiskAversion() instead of setTargetReturn() then the weight limits seem to be respected.

Basically, I am trying to plot out the efficient frontier but calling the above for a rage of target returns ...

Any help gratefully appraciated.

Thanks

Tony