Re: [ojAlgo-user] Need help with constraints

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

Yes. Only problem will be if n is very large.


> On 20 Sep 2018, at 05:42, Ab115 Subscribe via ojAlgo-user <oja...@li...> wrote:
> 
> 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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