Don't know what the practical size limit for a MarkowitzModel is, but
I would guess it's more than 50 instruments.
If using MarkowitzModel isn't flexible enough for you you can instead
use QuadraticModel directly.
If MarkowitzModel/QuadraticModel isn't fast enough you can use
QuadraticSolver directly.
/Anders
On 26 jul 2009, at 06.36, Nilesh Parekh wrote:
> Dear Team,
> can i use MarkowitzModel to solve the weights for solving 50 X 50
> variance covariance matrix & 1X50 return matrix (i.e 50 variables) ?
> plz. note that i'll also setting up the expected return to some
> const. value.
> i have tried with 4 X4 matrix (setting up the expected to some
> const. value) & it worked perfectly fine, amzingly fast & accurate.
> in this case i'll need 50 setupper limit & 50 set lowerlimits will
> ojalgo support caculation of such large model.
> also wanted to know the wt. is the max. possible value of n matrix
> (n X n) [i.e n variable]supported by ojAlgo MarkowitzModel ? and any
> advice for solving large number of variables with this model?
> Thanks & Regards....Nilesh
> ------------------------------------------------------------------------------
> _______________________________________________
> ojAlgo-user mailing list
> ojA...@li...
> https://lists.sourceforge.net/lists/listinfo/ojalgo-user
|
