Andrea Muzi
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Latest activity by Andrea Muzi-
Andrea Muzi commented,
But if \x_i is not defined ? \x_i is my objective variable. So, How can I write \w_i as a function of something that I don't have ?
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Andrea Muzi commented,
Error using gurobiIncorrect size(model.obj) Error in Nicola (line 22)result=gurobi(model);
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Andrea Muzi commented,
I tried to write the model this way, but gurobi couldn't solve it
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Andrea Muzi commented,
I have read the documentation but do not understand how to set the problem. My quadconstraints is represented by X^T*Sigma*X, where X is a ones(n,1) vector and sigma is a square matrix nxn. How can...
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Andrea Muzi commented,
I found on the documentation you suggested that I can solve the problem using "qcp", but being unfamiliar with the software I don't know how to build the matrices on the gurobi interface for MATLAB.
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Andrea Muzi commented,
Thank you for your help. My main problem is the quadratic constraint of variance. I really don't know how to write it. I don't know if you can also solve it with MATLAB
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Andrea Muzi created a post,
Mean-Variance-Shannon's Entropy
AnsweredCan I solve this model through Gurobi ? If I can do this, how I have to build the matrices ?
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Andrea Muzi created a post,
MIQP for portfolio selection
Good morning, I have implemented the following portfolio selection model Then I calculated the markowitz frontier to find the minimum and maximum rho value to trace the frontier (and then find t...
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Andrea Muzi commented,
I've modified my model, but probably I wrote in a wrong way this new constraints I 've used the vector [-eye(n) zeros(1,n)*eye(n) ; eye(n) -(ones(1,n)*eye(n) ] while for the lower and upper bounds...
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Andrea Muzi created a post,
MIQP for portfolio optimization
AnsweredI have to find the optimal portfolio weights for a set of K, where k is a sort of cardinality of my portfolio. X is a continuous variable, while y is a binary one. The real problem is that the s...