[R-SIG-Finance] Genetic Algorithms & Portfolio Optimization

[Guillaume Yziquel]

Le Saturday 22 Jan 2011 à 17:33:09 (-0500), Lui ## a écrit :
> Dear group,
> 
> What is your general experience? Did you ever try solving the
> Markowitz portfolio with the rgenoud package?
> I know that there are good solvers around for the qudratic programming
> problem of the markowitz portfolio, but I want to go into a different
> direction which translates into a quadratic problem with quadratic
> constraints (and I havent found a good solver for that...).
> 
> I am interested in your replies! Have a good weekend!
> 
> Lui

Any semidefinite programming solver should do the trick for quadratic 
problem with quadratic constraints. I suggest you have a look at SDPA, 
but there a lot of such solvers available if you look well.

(Well not every quadratic constraints, but reasonable ones, yes.)

The trick is how you get to reformulate your problem into a semidefinite
one. SDPs may not be the fastest solver for your problem if it has a 
specific structure, but as a general solution or prototype, it works,
and is
adequately fast.

But I'm not so sure as what is available in R for SDPs.

-- 
     Guillaume Yziquel
http://yziquel.homelinux.org