Can someone help me with this R code. It's a quadratic optimization problem and something is wrong, as I get an error: Error in solve.QP(Dmat = H, dvec = -c, Amat = t(Aneq), bvec = bneq) : constraints ...

I am trying to do the test of Ehling and Ramos (2006), paper is here. Simply, the paper compares diversification benefit between a portfolio of companies and a benchmark. I am considering my benchmark ...

In regards to this question Portfolio Optimisation under weight constraints, I have a long unbalanced panel data of company returns as well as sector dummy variables taking values of 1 if that company ...

Suppose that I have a data for U.S sector indices such as Non Durable, Durable, Manufacturing,..., etc and for the companies within each of these sectors. I am aiming to see if for the given sectors, ...

I am running this repo: https://github.com/TUMFTM/global_racetrajectory_optimization on a WSL (alternatively I have tried it on multiple different machines like several Linux machines as well as an ...

When I run a shiny app for portfolio optimization, I get this error ("constraints are inconsistent, no solution") randomly about half the time, while it seems to work correctly half the time....

I am trying to install qpsolvers using pip. The installation goes without errors, and the module imports properly afterwards. However, qpsolvers has no available solvers for it to use : import ...

In macos I did not receive that error, in Windows I had to install Microsoft Visual Studio but on Linux I do not know how to solve this. The error shows after I type to the terminal: pip install ...

Has anyone used quadprog in Python before? I tried installing and importing it, and it was succesful, but when I try to use it I get this message: 'module' object is not callable Installed with: pip ...

In portfolio analysis, given the expectation, we aim to find the weight of each asset to minimize the variance here is the code install.packages("quadprog") library(quadprog) #Denoting ...

first i define some matrix and vector in proper shape . initialization I=np.eye(24) Z=np.zeros((24,24)) a=0.012 b=1.1 gamma1=0.9/80 gamma2=1.1/80 MM=np.eye(24) for i in range (22): MM[i+1,i]=-1 ...

I am trying to find weights across a number of forecasts to give a result that is as close as possible (say, mean squared error) to a known target. Here is a simplified example showing three different ...

Let me start by saying I am new to Stack Exchange sites, so apologies if this turns out to be a low quality question. I am trying to run a mean-variance portfolio optimization using Solve.QP in R and ...

The function of quadprog looks like that: solve.QP(Dmat, dvec, Amat, bvec, meq=0, factorized=FALSE) My objective function is: And my two constraints are: Now my aim is to determine the single ...

I'm using the quadprog module to set up an SVM for speech recognition. I took a QP implementation from here: https://github.com/stephane-caron/qpsolvers/blob/master/qpsolvers/quadprog_.py Here is ...