Solver with IF statements

[Shadowlalle]

Hi

I am doing a Schoolproject where i am opmizing a portfolio.
I am using the solver to find a optimal mix of assets in a portfolio.
I am trying to get the solver to understand that the expected return for a asset changes when the solver is short selling it.
Since i then have to account for financing costs.

However i don't get it to work, if anyone could take a look in the excel file and see if it would be possible i would greatly appreciate it.

Thanks

[Alf]

Re solver and IF statment

A nonlinear solver relies on (partial) derivative values to guide it towards a feasible and optimal solution; since it is unable to compute the derivatives of a function at points where that function is discontinuous, it has trouble determining how to proceed.

With the Evolutionary Solver you may be able to use functions like If and Choose but there is no guarantee it will work and find an optimal solution.

You can use discontinuous functions such as IF and CHOOSE in calculations on the worksheet which are not dependent on the decision variables, and are therefore constant in the optimization problem. But any discontinuous functions that do depend on the variables will likely cause problems for the Solver. Users sometimes fail to realize that certain functions, such as ABS and ROUND, are nonsmooth at certain points.

I'll have a look at you sample file and see if I can come up with a hint or two because forum members are not supposed to do home work but hints are allowed.

Alf