minimum variance with contraints

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Alfred
Posts: 7
Joined: Fri Mar 06, 2009 4:13 pm

minimum variance with contraints

Postby Alfred » Wed Feb 13, 2013 4:52 am

Dear Carol,

I am studying your MRA books. I want to study the example I.6.9 further. But you encode the stuff in the solver.
Can I read the the code in the solver ? Or Can you give me some direction to find the material about
the minimum variance with contraints. I want to study it further. Thanks a lot .

regards,
Alfred Wu

coalexander
Posts: 815
Joined: Sun Sep 28, 2008 10:30 pm

Re: minimum variance with contraints

Postby coalexander » Wed Feb 13, 2013 10:49 pm

Hi Alfred,

When you click on solver the constraints etc should come up in a pop up window, where you can change them if you want or just start the Solver. Cheers, Carol

Alfred
Posts: 7
Joined: Fri Mar 06, 2009 4:13 pm

Re: minimum variance with contraints

Postby Alfred » Thu Feb 14, 2013 12:54 am

Dear Carol,
Many thanks your reply. Because I click solver in the VBA editor. It prompts a window to ask password.
Anyway. Many thanks your reply. Your books are really excellent. I have 4 vols. I believe that I could
get many great market risk knowledge from your MRA books. Thanks a lot.


regards,
Alfred Wu

walterzelhofer
Posts: 9
Joined: Thu Apr 11, 2013 7:06 am

Re: minimum variance with contraints

Postby walterzelhofer » Fri Oct 04, 2013 11:17 pm

Alfred,

I've looked at the vba modules for Solver, and unfortunately, the actual code that applies the optimization procedures has been compiled outside of vba and you won't gain much insight as to how it actually works. I suggest you search the net for multivariate minimization/maximization: you'll learn about gradient methods, the Hessian, the simplex method and a handful of others... which is pretty much what Solver does behind the scenes. At any rate, I think you'll waste considerable time deciphering these concepts, and you're better off just using the tool (Solver) out of the box. In my opinion, learning how to properly use the tool is more important than reinventing the wheel. That's my 2 cents.

-Walter

Alfred
Posts: 7
Joined: Fri Mar 06, 2009 4:13 pm

Re: minimum variance with contraints

Postby Alfred » Mon May 12, 2014 5:18 am

Dear Walter,

Thanks for your suggestion. I am not familiar with VBA. Even I am not so familiar with Excel.
I always write programs in Java. So I posted such a stupid question. It might not be easy to
find a person who is not familiar MS Office products. I guess. So If I can understand the method
mentioned in the book, I would try to write Java programs based on my platform. And watch
the result if it is the same as the stuff mentioned in the book.

Thanks for your great suggestion. Because of my poor Math ability, so much stuff need to be Studied,
But I would try it.

Regards,

Alfred Wu


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