I'm puzzled that I cannot reproduce results for asset weights using solve.pq
and nloptr even in the case of just three assets. E.g. if I use NLOPT_LD_SLSQP
and start with initial weights of 1/3, I may obtain (0.47, 0, 0.53) vs (0.52,
0, 0.47). If I start with (0.52, 0, 0.47), I do get (0.52, 0, 0.47)...
When I use NLOPT_GN_ISRES or other nloptr solvers that permit equality
constraint sum(weights)=1 with initial weights of 1/3, I obtain (almost) the
same initial weights after 20000 iterations with xtol_rel=1.0e-8...
I remember from my MC simulations of protein structures (20 years ago) that
sampling is key due to multiple local minimums but is it so bad for a simple
portfolio?
I'll greatly appreciate relevant comments.
Alec
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