Timeline for short-sale constraint with nonpositive-definite matrix in portfolio optimization
Current License: CC BY-SA 3.0
11 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 5, 2015 at 21:39 | vote | accept | user13895 | ||
| Jan 5, 2015 at 21:39 | |||||
| Dec 28, 2014 at 10:37 | answer | added | Kyle Balkissoon | timeline score: 1 | |
| Dec 23, 2014 at 15:56 | comment | added | user13895 | Hi, yes It is my codes that I could not put short-sale constraint. | |
| Dec 23, 2014 at 7:45 | comment | added | Bob Jansen♦ | Hi, welcome to Quant.SE! I merged your answer into the question as it was not really an answer but more of an extension. | |
| Dec 23, 2014 at 7:45 | history | edited | Bob Jansen♦ | CC BY-SA 3.0 | Merge non-answer with question |
| Dec 22, 2014 at 23:12 | comment | added | user13895 | I need to add w≥0 constraint. Should I add like this and solve for w ? L(w,λ,δ, θ)=w'Σw+λ(q-w'μ)+δ(1-w'e)+θ(w) | |
| Dec 22, 2014 at 22:53 | comment | added | Rusan Kax | Why could you not add the non-negativity constraints? You just need to include more terms in the Lagrangian, no? Search for Lagrangian with inequality constraints - I do not have time right now to post a full answer. | |
| Dec 22, 2014 at 22:24 | comment | added | user13895 | I actually use Lagrange solution for portfolio optimization. I solved the minimum variance portfolio subject to the constraints that are all weights sum up to 1 and target return constraint. But I could not add the nonnegativity constraints. In this case I have negative weights as well. I have inverted matrix. I can not use the traditional optimization packages such as quadprog etc. in R. Because they use covariance matrix as an input. I have inverted one. | |
| Dec 22, 2014 at 21:17 | comment | added | Rusan Kax | Have you already inverted the covariance matrix? About your actual optimisation problem, what have tried, and why did it not work? | |
| Dec 22, 2014 at 20:37 | review | First posts | |||
| Dec 22, 2014 at 20:49 | |||||
| Dec 22, 2014 at 20:37 | history | asked | user13895 | CC BY-SA 3.0 |