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cg4785
 Post subject: Portfolio Selection with alglib
PostPosted: Sat Nov 28, 2015 3:16 pm 
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Joined: Sat Nov 28, 2015 3:09 pm
Posts: 1
Hi,

I have a question, I want to make a portfolio selection by maximizing the return of the portfolio for a given risk. In this way, I have three constraints:

Code:
(1) 0 =< x_i =< 1

Code:
(2) sum x_i = 1

Code:
(3) sigma_p =< sigma*

My question is now how I can use alglib to optimize such a problem and obtain the parts of assets, x_i, in the portfolio?

Thanks

Kind regards
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