Re: [ojAlgo-user] Markowitz Model

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

The MarkowitzModel class in the finance.portfolio package cannot handle this. You have to build your own model using ExpressionBasedModel. it'a not hard. I posted a link to an example just the other day.

/Anders


On 14 jan 2014, at 16:31, Anthony Edwards <ant...@al...> wrote:

> Hi Anders
>  
> If i want to create a market neutral portfolio (same capital long and short), how can i do that with the MarkowitzModel ?
>  
> The doc says that the sum of weights is 100% but you can emable shorting, but is there a way to keep the long and short side the same net value?
>  
> Thanks
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