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

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

Thanks

Sent from my iPhone

> On 3 Dec 2013, at 08:35, Anders Peterson <an...@op...> wrote:
> 
> 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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