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!
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