Results 1 to 2 of 2

Portfolio Optimization. Solver Constraint Issue

Threaded View

spgoofyft Portfolio Optimization.... 03-23-2011, 06:56 PM
spgoofyft Re: Portfolio Optimization.... 03-23-2011, 07:02 PM
  1. #1
    Registered User
    Join Date
    03-23-2011
    Location
    Utah
    MS-Off Ver
    Excel 2010
    Posts
    2

    Question Portfolio Optimization. Solver Constraint Issue

    I'm doing a portfolio optimization problem. I have 24 stocks to choose from with their respective returns data. The stocks are grouped by industry and I have 8 industries.

    The constraint in the problem states that each industry can have no more than 22.5% of the entire investment in each industry (that part I have figured out). It also states that if an industry is chosen, it must be at least 5% of the total investment (this is the part I cant figure out). Disclaimer: Total investment must =1 or 100% and stocks or industries can have a zero value, they don't have to be used or chosen.

    How do I put the 5% constraint into solver since it only applies to those industries chosen? I'm familiar with binary constraints, but I still cant figure it out.

    Thanks for the help
    Last edited by spgoofyft; 03-23-2011 at 07:14 PM. Reason: Additional Info

Thread Information

Users Browsing this Thread

There are currently 1 users browsing this thread. (0 members and 1 guests)

Tags for this Thread

Bookmarks

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts

Search Engine Friendly URLs by vBSEO 3.6.0 RC 1