Looking for an APL efficient frontier program 
Author Message
 Looking for an APL efficient frontier program

I am looking for an existing APL program that does
efficient frontier portfolio analysis.  I work on an IBM
compatible PC, 486 with 66 mhz.  I have read about many
quadratic optimization programs in other languages that do
this kind of portfolio selection program but none in APL
that work on a PC.

Please email me if you have any sources, leads or comments.
Thank you, Harry Edwards.



Fri, 23 Jan 1998 03:00:00 GMT  
 Looking for an APL efficient frontier program

Quote:

>I am looking for an existing APL program that does  
>efficient frontier portfolio analysis

. . . .(snip). . .

Quote:
>I have read about
>many  quadratic optimization programs in other
>languages that do  this kind of portfolio selection
>program but none in APL  that work on a PC.

I have a version that accepts an asset covariance matrix as
input and outputs(full screen, graphics  etc)several points on
the frontier and "connects the dots". Wrote it in 1986 at First
Boston, haven't looked at it since. It's written in whatever
PC/APL STSC had going in 1986. It will take some digging around
to find.

Regards,
Tony



Sat, 24 Jan 1998 03:00:00 GMT  
 
 [ 2 post ] 

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