readme.md

Optimizer

Performs minimization to solve for factor weights using multi-dimensional constrained quadratic optimization.

Problem

The following formula shows the objective and constraints of the problem.

Implementations

• Microsoft Excel - uses the Solver Add-In

• R, using solvers from the Rmetrics project:

• Rdonlp2

• Rnlminb2

• Rsolnp2

• Ruby:

• rinruby_optimizer.rb

• rsruby_optimizer.rb