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

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

Most likely there is no feasible solution. What does 

markowitzModel.getOptimisationState();

return?

/Anders


On 21 okt 2013, at 18:11, Anthony Edwards <ant...@al...> wrote:

> 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
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