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| Set constraint as a function http://forum.alglib.net/viewtopic.php?f=2&t=3941 |
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| Author: | Globus000 [ Sat Feb 09, 2019 11:44 pm ] |
| Post subject: | Set constraint as a function |
Hello, First of all - I'd like to say thank you to authors of the lib - I've just started using it and it just awesome. I've got the following question: is it possible to set the linear constraint in form of the function? I'm specifically speaking about my case where I'm trying to find optimal weights for securities in portfolio which - on one hand - maximizes returns, and on another hand - should have standard deviation of portfolio below some predefined threshold? So far I've found only how to set the linear constraints with minbleicsetlc - but I wonder is it possible to set this as function? Thanks in advance! |
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