Timeline for Portfolio optimisation with VaR or CVaR constraints using linear programming
Current License: CC BY-SA 3.0
5 events
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| Jan 13, 2013 at 13:29 | history | edited | Marc Shivers | CC BY-SA 3.0 |
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| Aug 14, 2012 at 14:59 | comment | added | Marc Shivers | No, that's not correct. It has it's own solvers, plus the option to use MOSEK if you have that installed. It's not a dependency. | |
| Aug 14, 2012 at 3:11 | comment | added | RockScience | it seems that even though CVXOPT is open source, it only contains interfaces to the solvers in MOSEK, which is not open source. | |
| Aug 10, 2012 at 12:36 | comment | added | RockScience | indeed. I need quadratic constraints. The objective function is linear but the VaR constraint is definitely quadratic. Will have a look at your link. Thanks | |
| Aug 10, 2012 at 12:15 | history | answered | Marc Shivers | CC BY-SA 3.0 |