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Model MarkowitzDemo
github-actions[bot] edited this page Oct 18, 2026
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All model results · Pinned source · Javadoc
Using this example. Builds a Markowitz allocation from Yahoo history and the risk parameter in main. Asset ordering in the return matrix must match the products associated with the resulting weights. The optimizer computes weights; converting them to executable trades is a separate step.
Model and publication. Related theory and the scope of this example are distinguished below.
Implementation in this tutorial. Trades off expected return against covariance-based portfolio risk. The historical optimizer example estimates inputs from Yahoo observations, chooses a risk parameter and computes weights. Mean estimates and covariance uncertainty are not eliminated by solving the quadratic program.
| Item | Value |
|---|---|
| Status | completed |
| Run | 39114006111 |
| UTC publication | 2026-10-18 09:11 UTC |
| Source commit | 0097e73c040bdaaddac570e2fe694d9836b676ee |
| Data mode | original main defaults |
| Exit code | 0 |
| Elapsed seconds | 23.6 |
| Time limit seconds | 180 |
| Maximum Java heap | 1200m |
The original main returned successfully. Read the output and model assumptions before interpreting it.
Follow the repository setup for JDK 8, Maven credentials and an external NM license. From the repository root:
mvn -U -Dmaven.test.skip=true clean package
mvn exec:java -Dexec.mainClass=tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemoThe automated run uses scripts/ModelDemoRunner.java to initialize the external license before the unchanged main, save JFreeChart windows as PNGs, and exit after main returns. It uses an isolated working directory with the repository datasets/configuration linked in. Running directly may leave desktop windows open.
09:07:21,713 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:21,715 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:21,715 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Found resource [logback.xml] at [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml]
09:07:21,762 |-INFO in ch.qos.logback.core.joran.spi.ConfigurationWatchList@17d99928 - URL [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml] is not of type file
09:07:21,829 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
09:07:21,830 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.ConsoleAppender]
09:07:21,841 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [STDOUT]
09:07:21,851 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:21,913 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:21,914 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.21" to the LOCAL scope
09:07:21,915 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
09:07:21,918 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [FILE1]
09:07:21,932 |-INFO in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@3834d63f - Will use zip compression
09:07:21,932 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@3834d63f - Large window sizes are not allowed.
09:07:21,932 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@3834d63f - MaxIndex reduced to 21
09:07:21,938 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:21,942 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.21.log
09:07:21,942 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - File property is set to [log/algoquant.2026.10.18,09.07.21.log]
09:07:21,943 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:21,943 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
09:07:21,944 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [FILE1] to Logger[ROOT]
09:07:21,944 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:21,945 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@1ae369b7 - Registering current configuration as safe fallback point
09:07:22.110 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:07:22.116 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:07:22.119 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/MarkowitzDemo/work/config/config.default.xml
09:07:22.435 [main] INFO t.n.algoquant.util.config.AQConfig,148 - 09:07:21,713 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:21,715 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:21,715 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Found resource [logback.xml] at [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml]
... excerpt shortened; complete stdout is in the release archive ...
at tech.nmfin.algoquant.execution.component.simulator.message.dispatcher.SimpleChannelMessageDispatcher.dispatch(pfb:187)
at tech.nmfin.algoquant.execution.component.simulator.StrategyComponent.dispatch(ybb:150)
at dev.nm.nmutils.circuit.controller.SingleThreadedController.run(uwb:137)
at tech.nmfin.algoquant.execution.component.simulator.SimpleSimulator.run(ujb:132)
at tech.nmfin.algoquant.execution.simulation.template.SimTemplateUtils.run(kq:48)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemo.run(MarkowitzDemo.java:200)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemo.main(MarkowitzDemo.java:80)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:498)
at ModelDemoRunner.main(ModelDemoRunner.java:35)
Caused by: java.lang.IllegalArgumentException: dimension of less-than inequalities does not match that of the objective function
at dev.nm.misc.ArgumentAssertion.assertTrue(meb:430)
at dev.nm.solver.multivariate.constrained.problem.ConstrainedOptimProblemImpl1.<init>(jkb:37)
at dev.nm.solver.multivariate.constrained.convex.sdp.socp.qp.problem.QPProblem.<init>(xib:137)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.b(lh:310)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.getOptimalW(lh:294)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.setRiskAversionCoefficient(lh:314)
at tech.nmfin.algoquant.model.portfoliooptimization.markowitz.Markowitz1952.getOptimalWeights(vh:144)
... 16 common frames omitted
09:07:26.441 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2006-03-01T00:00
09:07:26.480 [main] INFO t.n.a.m.s.r.RebalancePortfolioTechnical,107 - products with not enough data (1): [0483.HK @ HKEX]
09:07:26.488 [main] WARN t.n.a.m.s.r.RebalancePortfolio,194 - failed to compute new positions: failed to compute optimal weights
java.lang.RuntimeException: failed to compute optimal weights
at tech.nmfin.algoquant.model.portfoliooptimization.markowitz.Markowitz1952.getOptimalWeights(vh:121)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical.getPositions(r:19)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.s(z:196)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.onEvent(z:11)
at tech.nmfin.algoquant.execution.component.simulator.message.handler.ChannelMessageHandlerFactories$1$1.handle(hmb:200)
at tech.nmfin.algoquant.execution.component.simulator.message.dispatcher.SimpleChannelMessageDispatcher.dispatch(pfb:187)
at tech.nmfin.algoquant.execution.component.simulator.StrategyComponent.dispatch(ybb:150)
at dev.nm.nmutils.circuit.controller.SingleThreadedController.run(uwb:137)
at tech.nmfin.algoquant.execution.component.simulator.SimpleSimulator.run(ujb:132)
at tech.nmfin.algoquant.execution.simulation.template.SimTemplateUtils.run(kq:48)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemo.run(MarkowitzDemo.java:200)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzDemo.main(MarkowitzDemo.java:80)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:498)
at ModelDemoRunner.main(ModelDemoRunner.java:35)
Caused by: java.lang.IllegalArgumentException: dimension of less-than inequalities does not match that of the objective function
at dev.nm.misc.ArgumentAssertion.assertTrue(meb:430)
at dev.nm.solver.multivariate.constrained.problem.ConstrainedOptimProblemImpl1.<init>(jkb:37)
at dev.nm.solver.multivariate.constrained.convex.sdp.socp.qp.problem.QPProblem.<init>(xib:137)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.b(lh:310)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.getOptimalW(lh:294)
at tech.nmfin.portfoliooptimization.markowitz.MarkowitzByQP.setRiskAversionCoefficient(lh:314)
at tech.nmfin.algoquant.model.portfoliooptimization.markowitz.Markowitz1952.getOptimalWeights(vh:144)
... 16 common frames omitted
09:07:26.494 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2006-06-01T00:00
09:07:26.867 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2006-09-01T00:00
09:07:27.006 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2006-12-01T00:00
09:07:29.189 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2007-03-01T00:00
09:07:30.755 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2007-06-01T00:00
09:07:33.034 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2007-09-01T00:00
09:07:33.099 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2007-12-01T00:00
09:07:33.165 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2008-03-01T00:00
09:07:33.482 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2008-06-01T00:00
09:07:33.524 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2008-09-01T00:00
09:07:33.561 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2008-12-01T00:00
09:07:35.057 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2009-03-01T00:00
09:07:37.434 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2009-06-01T00:00
09:07:39.942 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2009-09-01T00:00
09:07:41.239 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2009-12-01T00:00
09:07:41.270 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2010-03-01T00:00
09:07:43.620 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2010-06-01T00:00
09:07:43.669 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2010-09-01T00:00
09:07:43.698 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2010-12-01T00:00
09:07:43.723 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2011-03-01T00:00
09:07:43.755 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2011-06-01T00:00
09:07:44.193 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2011-09-01T00:00
09:07:44.543 [main] INFO t.n.a.d.m.p.MarkowitzDemo,201 - report = Performance Report:
Product Profit Loss Commission Information Ratio For Periods Max Drawdown Percentage Execution Count
0001.HK -73191.63934183214 39118.10766321179 -0.2487202830881555 0.4558403058010594 22.0
0019.HK -10045.425067666336 16751.09939491026 -0.31960368502572295 0.2059301437570172 22.0
0321.HK -506380.7486037654 67368.41040137618 0.1030250272217886 0.8787988513830454 22.0
0483.HK 3045899.4746919647 81035.40944482393 0.7407698669827318 0.39196051888376926 22.0
Total 2456281.6616787007 204273.0269043221 0.6880982967836381 0.5797616851378838 88.0
Download MarkowitzDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
Read the reported units: optimizer weights, model-fit coefficients, forecast correlations and simulated P/L are different outputs. Synthetic runs demonstrate the API rather than historical market returns. Inspect undefined values and open positions instead of replacing them with zero. Chart exports visualize exactly this run.
For model assumptions, original publications and adaptation limits, use the literature guide.