Re: [ojAlgo-user] Need help with constraints

[Ab115 S. <ab1...@gm...>]

Thanks anders checked that. Using the expression model, I will have to
decide which asset has to be part of the portfolio and which doesn't using
the binary variable. However My problem is if you have n total assets, we
need to select an  optimal portfolio such that it comprises a minimum of k
number assets out of n and maximum of n assets . Which means that you have
to consider all the possible combinations. Can we do this using the
expression model?


On Wed, Sep 19, 2018, 11:39 AM Anders Peterson <an...@op...> wrote:

> 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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