Modern Portfolio Theory C++ Sample Code

iggytyper · September 4th, 2013, 9:14 pm

Hi, has anyone seen some sample code for C++ floating around the net?Thank you

daveangel · September 5th, 2013, 5:39 am

do you mean some quadratic optimisation code ?

iggytyper · September 9th, 2013, 6:03 am

Just calculating Portfolio Return and Porfolio variance for "n" assets thank you again

daveangel · September 9th, 2013, 6:42 am

dont know of any but this is not a difficult problem to solve.

Tad · September 9th, 2013, 6:44 am

daveangel,I would be very interested in the code you mentioned!

Tad · September 9th, 2013, 6:49 am

as for your question iggytyper, my first hit on google washttp://finance.bi.no/~bernt/gcc_prog/recipes/recipes.pdfPage 77 (and following) seems to be what you are looking for, you will apparently need third party libraries, however.

daveangel · September 9th, 2013, 8:11 am

QuoteOriginally posted by: Taddaveangel,I would be very interested in the code you mentioned!there is some code called quadprog on the internet by Berwin Turlach. It is in fortran so you will need to translate to C or C++. I translated into VBA and it seems to work. It handles both equality and inequality constraints.

Tad · September 9th, 2013, 8:20 am

looks good, thanks, I will look into that!

Cuchulainn · September 9th, 2013, 9:01 am

QuoteOriginally posted by: daveangelQuoteOriginally posted by: Taddaveangel,I would be very interested in the code you mentioned!there is some code called quadprog on the internet by Berwin Turlach. It is in fortran so you will need to translate to C or C++. I translated into VBA and it seems to work. It handles both equality and inequality constraints.Alglib has a QP solver http://alglib.codeplex.com/releases/view/68418AFAIK Kienitz and Wetterau have a QP Solver in Matlab in their recent book. http://www.mathworks.nl/matlabcentral/f ... modSQP.m// At the end of the day, Fortran is still king for matrices.

iggytyper · September 9th, 2013, 10:23 am

Thank you so much for the replies!