Re: [ojAlgo-user] MarkowitzModel and Long/Short strategies

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

Hi Anders

Can we add constraints to the Markowitz class such that the sum of the 
weights for a few of the assets can be constrained to lie with an upper and 
lower limit (so we can limit the models exposure on a sector basis)?

The javadoc has an addConstraint(lowerlimit, upperlimit, .... indices) but 
i'm not sure how to use this to achieve whet we need.

Thanks again for your help

Tony

-----Original Message----- 
From: Anders Peterson
Sent: Wednesday, November 06, 2013 7:02 PM
To: ojAlgo ojAlgo
Subject: Re: [ojAlgo-user] MarkowitzModel and Long/Short strategies

Not with the MarkowitzModel class. You'd have to implement your own model 
using ExpressionsBasedModel.

http://ojalgo.org/generated/org/ojalgo/optimisation/ExpressionsBasedModel.html

/Andes


On 5 nov 2013, at 18:18, Anthony Edwards 
<ant...@al...> wrote:

> Hi
>
> Is there a way to add a constraint such that the sum of the absolute 
> values of the weights cannot exceed a specified value?
>
> I know i can set an upper and lower bound on each weight, but can I 
> control the sum of the absolute value of the weights?
>
> Thanks
>
> Tony
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