Tagged Questions

2
votes
2answers
206 views

How to implement Maximum Diversification in R?

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 ...
-1
votes
0answers
75 views

question about Mean Variance optimization in C# [closed]

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 ...
1
vote
0answers
250 views

portfolio optimization with a loop

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 ...
5
votes
4answers
593 views

Fastest solver possible for portfolio optimization

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 ...
7
votes
4answers
781 views

Library to solve optimization problems

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 ...