Can i apply constraints on different category levels i.e on Sector, Asset class etc along with security level in Markowitz model for optimization? RRS feed

  • Question

  • Hi, I am using Microsoft solver foundation for optimization. I have applied constraints of min /max at security levels and can obtain optimized weights for the same. Now I wanted to apply one more level constraint above security. i.e. over security constraints a different level e.g. asset type constraint wherein i have min/max values for asset type too along with min/max values for individual securities. How the solution can be done ? 
    Monday, April 29, 2019 9:07 AM