Solver Equivalent

Solved7.99K viewsScripting

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.




Many thanks for your interesting and helpful post; I appreciate your effort very much.

Regarding the security issues caused by lp_solve (and other libraries):
I fully agree to give the security the first priority and I understand the issues that can be caused when a library calls external dll files. It is better to have a maybe “not so open” system but then we can be sure to be in a save mode. The security issues caused by VBA in Excel should be a warning example. I apologize for my harsh comments in the previous post in this thread.

Seeing that the Quantrix scripting functionality is improving gives me enough confidence that we can now implement customized solver and optimization requirements.


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