Solver Equivalent

Solved5.33K viewsScripting
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Hi All,

I’m trying to calculate the weights of the minimum variance portfolio with more than 2 stocks. In Excel, it can be done using the solver but I know Quantrix presently does not have a solver yet. Any suggestions or advice on how I go about doing it in Quantrix is much appreciated.

Thanks,
YC

0

Googling for portfolio optimization java library I found this:
[url:2jkpbww8]http://ojalgo.org/blapp.html[/url:2jkpbww8]
Haven’t tested it yet, but seems promising.
Maybe it could be used in Quantrix via scripting

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