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

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

Yes you can. That's precisely what that method does.

Either (but not both) of the limits may be null.

The indices are consistent with with the order of the assets when specifying returns, covariances, weights or whatever...

/Anders


On 2 dec 2013, at 08:24, Anthony Edwards <ant...@al...> wrote:

> 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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