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 ________________________________________ 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
divers_portfolio3.r
Description: divers_portfolio3.r
SPYETF3.csv
Description: SPYETF3.csv
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