number of assets constraint

[sabirjana]

Hi, First of all, thank you for this wonderful library. I tried example 26 which is regarding the number of assets constraint and I am facing the following issue.

Appreciate any help. I also tried other MIP solvers based on the table below however faced the same issue.

[rahold]

Most solvers are not pre-installed. You can find the link to the installation instructions of Mosek in tutorial 17.

[dcajasn]

Hi @sabirjana,

As @rahold said in tutorial 17 are the installation instructions of Mosek. But to be more formal, in documentation, in install section are the installation instructions of Mosek https://riskfolio-lib.readthedocs.io/en/latest/install.html.

As an additional comment, I prefer MOSEK solver to avoid any kind of problem with all portfolio models available in Riskfolio-Lib.

Best,
Dany

[sabirjana]

Hi Dany, Thank you for your quick response. As MOSEK has a license requirement I tried SCIP instead however still faced the issue. I used conda install -c conda-forge scip and then

[dcajasn]

I've never try SCIP solver, but I think that the problem is too complex for the solver. Cardinality constraint with Sharpe objective (return risk ratio) requires fractional mixed integer programming.

[sabirjana]

Do you suggest anything open-source solver other than MOSEK?

[sabirjana]

Hi Dany, I tried with 'ECOS_BB' solver and it works. Thanks!