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Optimal portfolio Sample QP RRS feed

  • Question

  • Hi all,

    I'm trying to do the opposit sample of Markowitz Optimal Porfolio. In this sample, the variance is minimized respect to the expectect return, but what i want to do is maximize the return with an expected variance.  When I put the bounds in a variance row , an executing error appear:

    "Cannot set bounds on a quadratic goal."

    Anybody can help me?

    Thanks in advance,

    Roberto

    Friday, July 20, 2012 10:15 AM

All replies

  • This would turn the problem into a quadratically constrained quadratic program, which the QP solver does not support.

    Nate

    Sunday, July 22, 2012 7:55 PM
  • You can get round the restriction by minimising the variance subject to the constraint that the expected return is greater than some target and keep changing the target until you achieve the required variance. You can use a simple bisection search to look for the target expected return and it will probably converge fairly quickly.
    Monday, March 31, 2014 2:44 PM
  • Hi Mate

    Have you solved this issue? I spent a good week on this and couldn't resolve...

    Does anyone know if I can use a different solver?

    Thanks,

    Micky

    Thursday, March 22, 2018 2:05 PM