Re: [ojAlgo-user] Need help with constraints

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

Hi,

You need to add a set of binary variables that indicates inclusion or not. This can’t be done with the MarkowitzModel class. You have to use ExpressionsBasedModel directly.

/Anders


> On 18 Sep 2018, at 20:33, Ab115 Subscribe via ojAlgo-user <oja...@li...> wrote:
> 
> Hi,
> 
> I am investigating the ojalgo-finance model for an portfolio optimization problem. We have a requirement to set a concentration constraint which I am setting using the limits of the Markowitz model. However we also need to add a constraint on the minimum number of assets to be part of the portfolio. Can someone please let me know how to add this constraint?
> 
> Thanks 
> Ab
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