I am trying to code up the optimization problem for Max Diversification Portfolios. The main problem I am having is properly translating the objective function in to code and port it in to the ...
I just found (probably) mean variance optimizator on MSDN site with Microsoft Solver 3.0 (see, this link). Is this valid code/approach to calculate weights of each position in sound of mean variance ...
I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
I am using quadprog in MATLAB for very simple mean-variance optimization, with less than 100 assets. It is quite fast but if I run a strategy with daily ...
I'm working with C# and I start being bored writing optimization algorithm. Do you know of any free library containing this sort of algorithms. In particular I'm cutrently working with Semidefit ...