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| Portfolio Selection with alglib http://forum.alglib.net/viewtopic.php?f=2&t=3383 |
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| Author: | cg4785 [ Sat Nov 28, 2015 3:16 pm ] |
| Post subject: | Portfolio Selection with alglib |
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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