tech.nmfin.algoquant.demo.model.portfoliooptimization

Class MarkowitzBigDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.MarkowitzBigDemo

@Demo
public class MarkowitzBigDemo
extends Object

This demo shows the performance/speed of running our implementation of Markowitz algorithm on a large pool of assets, e.g., N = 10000.

Using this example. Benchmarks Markowitz optimization on a large generated asset universe. Increase the asset count only after checking memory and solver runtime; this demonstrates numerical scaling, not historical investment performance.

Model and publication. Related theory and the scope of this example are distinguished below.

Implementation in this tutorial. Benchmarks the optimizer on generated high-dimensional inputs. Its asset count exercises numerical scaling; no historical strategy is simulated, and runtime or feasibility says nothing about out-of-sample returns.

Author:

Haksun Li

See Also:

H. Markowitz (1952), Portfolio Selection, Journal of Finance 7(1), 77–91

Constructor Summary

Constructors

Constructor and Description
MarkowitzBigDemo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MarkowitzBigDemo

public MarkowitzBigDemo()

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception