Solver Equivalent

Solved7.99K viewsScripting
0

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

Another options is lp_solve. You can find the instructions for using it with Java (Groovy) here:
[url:2bomt5mn]http://lpsolve.sourceforge.net/5.5/Java/README.html[/url:2bomt5mn]

But:
While I could call and use lp_solve in Eclipse with Java I couldn’t use it from within Quantrix beacause it isn’t allowed to call the necessary *.jar files.

So I would like to repeat an old request from my side to the Quantrix developers: Make it possible to use external Java libraries (*.jar files) from within Quantrix without to many restrictions.

This topic has been discussed in this post already:
[url:2bomt5mn]http://www.quantrix.com/forums/showthread.php?t=710&highlight=lp_solve[/url:2bomt5mn]

…including this reply from Ben:
“I can relate to your situation, but unfortunately our hands are tied on this one. Allowing the execution of arbitrary libraries from the system folder would be a major security liability, so that isn’t something we’re able to change. Sorry about that.”

I personally don’t like the term “arbitrary libraries” because lp_solve (and other libraries I have tried to use within Quantrix) are widely known and well developed. I therefore suggest that Quantrix installs a process where a user can request a security key for a particular library which will allow to use that library within the Quantrix scripting environment.

Many thanks for consideration.

Dominik

You are viewing 1 out of 11 answers, click here to view all answers.