Choose MINLP Solvers for Portfolio Problems
The following table lists the type of Mixed Integer Nonlinear Programming (MINLP)
solvers that you can select to find the solution to different portfolio problems using a
Portfolio, PortfolioCVaR, or PortfolioMAD object. You can set the
solvers using setSolverMINLP, where the
first input argument, solverTypeMINLP, is one of the solvers listed
in the table that follows.
Available Solvers (Use
setSolverMINLP to specify the solver) | ||||
|---|---|---|---|---|
| Portfolio Problem | Use Function: | Portfolio Object | PortfolioCVaR Object | PortfolioMAD Object |
| Estimate efficient frontier | estimateFrontier(p)(See |
|
|
|
| Minimize risk without return constraint | estimateFrontierLimits(p,'min')(See
|
|
|
|
| Maximize return without risk constraint or tracking error constraint | estimateFrontierLimits(p,'max')(See
| intlinprogUse
| intlinprogUse
| intlinprogUse
|
| Maximize return with risk constraint and/or tracking error constraint | estimateFrontierLimits(p,'max')(See
|
|
|
|
| Minimize risk subject to a return constraint | estimateFrontierByReturn(p,returnTarget)(See
|
|
|
|
| Maximize return subject to a risk constraint | estimateFrontierByRisk(p,riskTarget)(See
|
|
|
|
| Maximize Sharpe ratio | estimateMaxSharpeRatio(p)(See |
|
|
|
| Optimize custom linear objective without risk or tracking error constraint | estimateCustomObjectivePortfolio(p,linFun) | intlinprogUse
| Not supported | Not supported |
| Optimize custom linear objective with risk or/or tracking error constraint | estimateCustomObjectivePortfolio(p,linFun) |
| Not supported | Not supported |
| Optimize custom quadratic objective | estimateCustomObjectivePortfolio(p,quadFun) |
| Not supported | Not supported |
| Optimize custom nonlinear nonquadratic objective | estimateCustomObjectivePortfolio(p,NLFun) |
| Not supported | Not supported |
See Also
Portfolio | PortfolioCVaR | PortfolioMAD
Related Examples
- Mixed-Integer CVaR Portfolio Optimization Problem
- Mixed-Integer MAD Portfolio Optimization Problem
- Mixed-Integer Mean-Variance Portfolio Optimization Problem
More About
- Portfolio Object
- Portfolio Optimization Theory
- Portfolio Object Workflow
- Supported Constraints for Portfolio Optimization Using Portfolio Objects
- Supported Constraints for Portfolio Optimization Using PortfolioCVaR Object
- Supported Constraints for Portfolio Optimization Using PortfolioMAD Object
- When to Use Portfolio Objects Over Optimization Toolbox
External Websites
You can also select a web site from the following list:
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