If your problem is too big for quadprog, you could try SOL (qpopt).  It's
not free.

http://www.sbsi-sol-optimize.com/



On Thu, Jun 6, 2013 at 5:51 AM, Enrico Schumann <es@enricoschumann.net>wrote:

> On Thu, 06 Jun 2013, Bastian Offermann <bastian2507hk@yahoo.co.uk> writes:
>
> > Hi all,
> > I am working on a large scale portfolio optimization problem with up
> > to 500 assets. My objective function is simple
> >
> > w*returns - 1/2 * 1/constant * w * Matrix * w
> >
> > subject to sum(w) == 1 and w is a vector of weights with 0 <= w[i] <=
> > 1 for all i = 1, ..., n.
> >
> > I have tried quadprog, alabama and DEoptim. What are your experiences
> > with those and possibly other options?
> > Thanks in advance!
> >
>
> You say you "have tried" these packages, so did you encounter any
> specific problems?  If yes, you should post some examples that
> demonstrate these problems.
>
> quadprog sounds reasonable, but if your covariance matrix is not
> full-rank, quadprog's solve.QP will not work.  (Which is actually more
> an empirical than a computational problem.  For example, there might be
> no unique solution.)  Other methods, such as Differential Evolution, do
> not have such a constraint.
>
> Regards,
>         Enrico
>
> --
> Enrico Schumann
> Lucerne, Switzerland
> http://enricoschumann.net
>
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