On Saturday, January 22, 2011 04:33:09 pm Lui ## wrote: > Dear group, > > I was just wondering whether some of you have some experience with the > package "rgenoud" which does provide genetic algorithms for complex > optimization problems.
<...> > 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! As others have already said, for a quadtratic problem with quadratic constraints, there is an exact analytical solution. In these cases, you will be much better off both from a performance and accuracy perspective in using a quadratic solver (quadprog is most often applied in R, see list archives and many packages for examples). Other portfolio problems may be stated in terms of linear solvers, which will likewise be faster than a global optimizer for finding an exact analytical solution. If, however, your portfolio problem is non-convex and non-smooth, then a genetic algorithm, a migration algorithm, grid search, or random portfolios may be a good option for finding a near-optimal portfolio. If this is your true goal, perhaps you can say a little more about your actual constraints and objectives (and use assets that are outside of your true area of interest, such as the S&P sector indices). Regards, - Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock _______________________________________________ [email protected] 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.
