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- November 24th, 2004, 9:53 pm
- Forum: General Forum
- Topic: Nonlinear Optimization with Constraints
- Replies: 26
- Views: 173688
Nonlinear Optimization with Constraints
<r>Hello All,Does anyone have any experience in optimizing a nonlinear objective function subject to linear constraints? I am trying to optimize a portfolio in C++ and am looking for algorithms to efficiently find an empirical solution for the Markowitz portfolio. Does anyone know of any very reliab...
- November 24th, 2004, 9:48 pm
- Forum: General Forum
- Topic: Hedge Fund or CTA in the DC/MD/VA
- Replies: 3
- Views: 168736
- May 31st, 2004, 4:10 pm
- Forum: General Forum
- Topic: MLE’s for the GEV distribution
- Replies: 1
- Views: 189426
MLE’s for the GEV distribution
<t>Does anyone know the Maximum likelihood estimates for the location, scale, and scope (if GEV) parameters for the Gumbel Type 1( minimum) distribution or the generalized extreme value distribution? I attempted to derive them for the Gumbel, but ended up with 0 as the solution for the scale paramet...