June 19th, 2009, 10:23 pm
QuoteOriginally posted by: OliverPIf you use R there is an R Package called quadprog, I believe there is also something available in Fortran (try google) but I doubt you'll find anything in Java that anyone is prepared to give away! I don't understand what you mean about attempting to solve a quadratic optimization problem with linear algebra, you might also want to consider using variance in place of volatility. The basis for a lot of related work is a paper by Goldfarb & Idnani (1983 in Mathematical Programming) which presents an algorithm for solving quadratic programming problems.Also there is a function called portfolio.optim() in in the package tseries. I believe tseries is dependent upon quadprog as well.