On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > Hi Enrico, > Many thanks for your interest. I attach my script and input file with > asset tickers. Sorry for lots of unrelated stuff - it's a working > draft. > > Alec
Thanks for sending the script, Alec. But you will need to simplify it if people are to help you. [My bad: I should have said _minimal_ reproducible example: https://stackoverflow.com/questions/5963269/how-to-make-a-great-r-reproducible-example ] > ________________________________________ > From: Enrico Schumann <e...@enricoschumann.net> > Sent: Friday, March 18, 2016 10:25 AM > To: Alec Schmidt > Cc: R-SIG-Finance@r-project.org > Subject: Re: [R-SIG-Finance] comparing solve.pq and nloptr for min variance > portfolio > > On Fri, 18 Mar 2016, Alec Schmidt <aschm...@stevens.edu> writes: > >> 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 > > [...] > > Unless your covariance matrix is 'broken' in some way, a > minimum-variance portfolio with only a budget constraint should be > fairly easy to compute (no multiple local minima, smooth objective > function, ...). Please provide a reproducible example. > > Kind regards, > Enrico -- Enrico Schumann Lucerne, Switzerland http://enricoschumann.net _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.