Skip to content

Mean Variance Frontier with Short Sales Constraints #3

Open
Open
Mean Variance Frontier with Short Sales Constraints#3

Description

@maxchendt
maxchendt
opened on Feb 3, 2023

for https://github.com/PaulSoderlind/FinancialTheoryMSc/blob/master/Ch03b_MV_NoShortSales.ipynb

I find that EfficientFrontier.jl is a better choice than the numerical solver OSQP. And there is a User Guides for EfficientFrontier.jl

Activity

  1. PaulSoderlind commented on Feb 3, 2023

    @PaulSoderlind
    PaulSoderlind
    on Feb 3, 2023
    Owner

    Thanks. I'll give it a try.
    I like using OSQP for the all these optimisations that pop up in the lecture notes (MV, style analysis, LASSO, etc), but I should (as a minimum) include a link to EfficientFrontier.jl.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment

Metadata

Metadata

Assignees

No one assigned

    Labels

    No labels
    No labels

    Projects

    No projects

      Milestone

      No milestone

      Relationships

      None yet

      Development

      No branches or pull requests

      Issue actions